They do host them on their servers, sort of (if you’re asking how ad brokers work that’s a bit of a different scope).
Does poo have to be on your desk to smell it?
The post office (website) is telling you (your computer) to go over and pick up a parcel of poo (an ad) that’s there for you.
You say no, I don’t think I will (adblock/poo block)
Can I cuss the software for being terrible and then
git blame
in silence right after?