Apesar de parecer que é feito via IE, ele (aparentemente) faz isso no firewall.
Access Internet Explorer from your computer.
Choose "Tools" at the top of the screen. Select "Internet Options" from the drop-down menu.
Click the "Content" tab in the Internet Options menu. Scroll down to the second menu option, "Content Advisor," and click. Wait for the new menu to appear.
Click "Settings" within the Content Advisor menu. When the "Supervisor Password Required" dialog box appears, enter your Windows 7 password into this field and press "Enter."
Click the "Approved Sites" tab at the top of the screen. Wait for the words "Allow This Website," along with an empty dialog, box to appear.
Enter the full URL of the site you wish to block access to in the empty dialog box under "Allow This Website." Check "Never." ("Always" is the other option.)
Click "Apply" to confirm that you are blocking access to the chosen website. Click "OK" when you get a message confirming the change has gone into effect. The website is now blocked by your Windows 7 firewall.
Eu também recomendaria a atualização do arquivo hosts, pois você pode copiar e colar arquivos hosts entre máquinas (em algumas situações). Veja C: \ Windows \ System32 \ drivers \ etc