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A VPN wouldn't matter if the web browser you are using allows the ads through.
(I use a paid VPN, which encrypts and shows that I am (IP address) wherever I point it to.)

Just using a VPN does NOT protect you from scripts (java/javascript or whatever), it only is an attempt to protect where you are (IP address).

If you go on a site that has hidden code, just you going to that website infects you and opens the doors to your computer.

The VPN is only the first step, of many, to protect you.
(plus the fact that every add-on you add to your browser, adds more to your 'fingerprint' (making your browser unique) on the web; EVEN if you are using something like TOR (deepweb/darkweb).)