It's possible to block a single web site or a small number of web sites, but IMO you're fighting a losing battle. If the site you're trying to block has many servers such as a Content Delivery Network (CDN), it's an imposiible task to block every server.
I do reommend OpenDNS, but there are ways to get around that also.
If you want to try blocking a site,
- Click on the Firewall Settings icon
- Click yes to the nag screen
- Select Advnced Filtering from the left menu
- On the Advanced Filtering page, under Output Rule Sets, across from Broadband Connection, click Add
- On the Add Advanced Filer page, leave Soruce as Any.
- Across from Destination Address, select User Defined from the pull-down.
- This takes you to the Edit Network Object page.
- Enter a name for your filter rule.
- Click Add.
- Enter the IP address of the site you want to block.
- Click Apply.
- Click Apply to exit the Edit Network object page.
- Click Apply on the Add Advanced Filtering page. Your rule should now appear on the Advanced Filtering page.
- Click Apply one more time.