Hi,
I use squid and I have several differnt access lists which it filters against.
Depending on which filter is triggered it will bring up a 'page blocked due to %policy%'
where %policy% is either 'e-mail', 'adblocking', 'IM' or 'Custom Filter' etc..
You could easily enough customise the page to display (or not display) the website which triggered the block, else put in a static link to a less offensive page (if this is what you wanted..?)
Cheers.