I use IPcop myself, with the Advanced Proxy and URLfilter addons, among other addons. You'll need another computer for it; my old 300MHz P2 and ~380MB RAM Dell optiplex handles it rather well. It's a free, linux-based firewall package that you can download and burn the ISO to CD, so be prepared to spend some time if you decide to download it. There are so many options, it's easy to get lost in it.

With IPcop, you can set up a transparent proxy server so you don't need to configure every browser to use it. After that, it's simply a matter of adding URLs to the blocked domains textbox and hitting Save and Restart...