Hi
What operating system you want to use?
If you want to use Linux, it is simply done by tinyproxy which will monitor all your URLs and filter them according to your need. I have done that before many times.
If you are using windows, it is done simply by writing a VBscript which will filter URLs using windows firewall, or you can use other proxy programs, tell me which you want and I am ready to do that in 1 or 2 days.
Thanks