Usually, you'd do that thru a proxy server - making all requests go thru a server which can filter as needed. Microsoft's ISA, Squid, etc. all employ that approach.
The way you worded you question makes me think you want to do this client side...that's a difficult road, I think. Much easier to control the network side, or you'd have to force a particular (possibly custom built) browser. For a home PC, you could set up a proxy server on the local machine and redirect requests thru there.
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