How to pair Pi-hole with an OpenVPN to block ads and increase privacy on Ubuntu / Debian Linux

Pi-hole is free and open source software to block ads and tracking domain. It is released under the GNU General Public License. The biggest advantage is ad blocking on all devices on the network from your smartphone to your tablets including all desktop computers. It even blocks in app ads on iOS and Android/Windows devices. How can I install Pi-hole to block ads, reduced my 4G/3G/LTE traffic on the same Debian or Ubuntu Linux server?