Back in the old days, before the browsers even had extensions like Adblock Plus, many of us – tech-savvy web surfers – used to block unwanted advertising, SPAM sites, and other non-sense using the /etc/hosts file. The technology behind is very simple – you overwrite the IP address to which the unwanted website’s domain name resolves with a loopback IP address (127.0.0.1). Whether you do it on your own machine or at a home/office proxy server is irrelevant. And it worked magic!
Turns out, people still use this technique today. I came across this article, which shows how to use a rather extensive list of domains for all sorts of online madness, collected and maintained by kind folks at http://winhelp2002.mvps.org/.
But if you’ve never tried it, I strongly recommend giving it a go.