As Kya Sainsbury-Carter takes the reins of Microsoft Corp.’s digital-advertising business, she has a shiny new toy to play with: artificial-intelligence chat.

Ms. Sainsbury-Carter, a 17-year veteran of Microsoft, was named the first woman to lead the company’s $18 billion ad business in March. Her appointment came just weeks after Microsoft integrated the viral chatbot ChatGPT into its Bing search engine and started experimenting with paid advertising links in chat results. ChatGPT is made by OpenAI, a startup in which Microsoft owns a 49% stake.