Why the host files are not listed here? This is a tricky part. Open the host file as administrator and add the necessary contents to it. Once you found them, go to C:\Windows\System32\drivers\etc. There are samples of host files for blocking Spotify ads scattered all around the Internet and easily googleable.
Luckily, Windows is indeed a very flexible OS and it lets users change host files manually in the system. And becomes horrible when another 30-seconds ad kicks in. Comes in handy, when working on a laptop, or throwing a wild house party. The great thing about Spotify is that it allows users to stream music on their PC, not just mobile.