You can't block out websites with just windows. You can through your browser using the tools menu. It isn't really to good because it blocks based on rating. If the site isn't rated, it doesn't get blocked. The best way is with third party software. Programs like this
Parental Controls: Safe Eyes Software at InternetSafety.com let you block based on certain criteria and block or log chat sessions. There is a lot of software that can do what you want, but I don't know of anything integrated into windows. They do charge for the software, but you can bounce around using free trials.