The only effective way to do this, is to bring in a system that will serve as a server, otherwise you'll have to install and maintain software on each and every system, which will invariably lead to you forgetting to make some change on this or that site.

After that, the free software Squid should be more or less able to do what you want to do, if you're willing to put in the time necessary to learn how to configure it. It will likely take several days or weeks even, staring at configuration files, reading everything you can get your hands on as far as examples found via Google, and the somewhat limited documentation on the program's site itself. I'm not aware of any books on Squid, but then that may have changed in the last year or two since I looked at it. And you won't necessarily be able to block downloads from a site, but you will be able to throttle the download speed to such a slow rate that it's effectively blocking them. I'm talking about being able to slow download rates to a few bytes per second, so anything larger than a text file will take hours, days, weeks, months, years even to download.