You would have first to understand the mechanism of redirection they use. Does the site name in the browser address line change to the one of the advertising server or does the original one remain there? Most likely they send a http redirect (302) to the new page, and that’s not easy to deal with on a router.
But it seems to me their business model must be based on providing cheap or free of charge connection in exchange for feeding you with advertisements, so they will probably watch whether you don’t bypass it in some way and will disconnect you if you do, as such business model must be well-secured against clever users to work.