How would that work. The whole idea of a web proxy, is that you view the website through another server. Website > proxy server > you. Running a proxy locally would achieve nothing.
Ok, what we do at school is use the IP of websites. Works on all sites with dedi IP,(most big sites). OR, the school uses imperio software to temporaryly block websites. What youneed to do is type in the address in word etc 'gamerenders.com', copy it (without www.) and paste into the address bar of the recycle bin. As soon as you paste, hit enter as it will disappear quickly. this usually works.