I don't know a CNET Web Blocker, but it seems the program from http://download.cnet.com/The-Web-Blocker/3000-2162_4-10920621.html is free and has a help function. And I'm sure that answers your questions much better and much more comprehensive than anyone could do in the limited space of a forum post.
To whom it may concern:
Help I need, for my own personal reasons, to block some web sites starting today. How do I do this with the CNET Web Blocker?