When the Pi-hole is installed, you have the option to select which blocklists should be used. The blocklists will be downloaded at that point, but need to be kept up-to-date. Fortunately, there is a cron job which runs automatically once a week and updates these blocklists.
If you want to run a manua update of the blocklists, log into the Pi-hole admin interface and select Tools and then click Update Gravity; when the page loads, click Update:
The update may take a few minutes to complete; when it is finished, a message bar will be displayed:
It is possible to change the frequency of the auto-updates, but this isn't recommended by Pi-hole.