You either set the DNS settings per device to the system running PiHole / AdGuard Home, or if your router allows, set the DNS there. It’s ideal to set it on the router.
Any time a device makes a DNS request to a domain, it’s checked against the list. If found, it’s stopped. If not found, it gets sent upstream to your choice of a public DNS configured during setup. I use Cloudflare (1.1.1.1, 1.0.0.1).