If you see an ad that is following you, look in the upper right corner of the banner for a small triangle that says "Ad Choices" or something similar:
Click the triangle. If the ad is part of the Criteo network, you'll see a page that shows you why you are being followed ("These are the last products that you viewed on Microsoft Store US's website") and what products are being offered as a result. Scroll down to the heading that says, "You prefer to disable all personalized banners displayed by Criteo?" and click the link that says "To completely disable Criteo's retargeting service, click here." I've circled it below:
Note that this only works for Criteo's service. If an advertisement is following you and it is served by another company, there may be another process involved ... or they may not be a way to escape.