Not sure what you mean by unbound, but your Windows box does not have a DNS server installed by default. Most people depend on the DNS server that their ISP runs. If the ISP is doing unwanted redirects or filtering, or is just unreliable, you can point your DNS to OpenDNS which is fast and reliable. You can either use it for free and it will show you ads when you typo, or you can pay them some money for their service. (edit: expanded)

Unbound is a recursive & caching DNS server. You can use it to query DNS "directly", avoiding your ISP's DNS server.

At some point in time I'd have said this would increase your DNS latency, but given the poor level of service that many ISP servers provide, I don't think that's true anymore. Though I have no data to back this up, I suspect many home users visit a fairly small set of websites and so DNS caching would work very well.

Oh I see now. OK so yes, you can either admin your own DNS server, or get an ad-supported version, or pay someone a small amount of money to do it for you. I think that about covers the options :)

You get more than just "no ads". It also provides domain filtering, which is a nice feature with kids and a million internet connected devices.