It’s easier than ever these days. The hardest part is figuring out how to configure your router to point devices to it. Because router manufacturers love to bury that setting somewhere deep. For actually setting up the pihole, it’s usually just a matter of flashing the memory card with the right image, then finding some decent block lists. But even the block lists are easy to find nowadays.
Yeah, the combined modem/routers are almost all garbage. You really are better off bridging it and letting your own router do the work. Because the ISP has a vested interest in giving you the cheapest router possible.