After the nightmare of trying to setup a proxy on an old server (I've assumed dodgy hardware) I looked at other options to prevent unacceptable use.
I've installed B Gone on 25 computers and added terms like 'Instant Messenger', 'meebo', 'goowy' and 'Web Messenger' to it's blacklist. This is the most effective software I have seen - not for features or ability to sniff out a dodgy page - the way it deals with a violation is to simply close the browser! Kid searches 'web chat' and the term is picked up in the title bar and the window closes. Kid uses an IP address - *bing* IE closes.
Will report back if it starts causing me problems but so successful I thought I'd give it a thread.