I've blocked a few websites through my router. Is there anyway to block proxy sites such as this one. I'm trying to block any and all proxy sites. Is that possible?

What kind of router do you have? Is it running the default firmware, or something more advanced like Tomato or DD-WRT?

Both Tomato and DD-WRT have options for blocking any site with a certain keyword or a certain word in the URL, so you could for example disable all sites with "proxy" in the URL. Do keep in mind that this might inhibit legitimate usage sometimes, if someone is trying to learn about network infrastructure for example, or is innocently reading an article about one of the many other uses of the word. What environment are you using this in? Home? Workplace? School?

D-Link router, default firmware. It's just for home. I've managed to find a simple solution that's working fine for me now.

http://www.opendns.com/

That´s indeed what I use and it works fine for me, but you have to add teh sites that you like to block by hand.