This example will explain you “How to Block Web Sites” & “How to Stop Downloading”.

First, Configure Proxy.

/ip proxy
set enabled=yes
set src-address=0.0.0.0
set port=8080
set parent-proxy=0.0.0.0
set parent-proxy-port=0
set cache-administrator="webmaster"
set max-cache-size=none
set cache-on-disk=no
set max-client-connections=600
set max-server-connections=600
set max-fresh-time=3d
set always-from-cache=no
set cache-hit-dscp=4
set serialize-connections=no

Now, Make it Transparent

/ip firewall nat
add chain=dstnat protocol=tcp dst-port=80 action=redirect to-ports=8080

Make sure that your proxy is NOT a Open Proxy

/ip firewall filter
add chain=input in-interface=<Your WAN Port> protocol=tcp dst-port=8080 action=drop

Now for Blocking Websites

/ip proxy access
add dst-host=www.vansol27.com action=deny

It will block website http://www.vansol27.com, We can always block the same for different networks by giving src-address. It will block for particular source address.

We can also stop downloading files like.mp3, .exe, .dat, .avi,…etc.

/ip proxy access
add path=*.exe action=deny 
add path=*.mp3 action=deny 
add path=*.zip action=deny 
add path=*.rar action=deny.

Try with this also

/ip proxy access
add dst-host=:mail action=deny

This will block all the websites contain word “mail” in url.

Example: It will block www.hotmail.com, mail.yahoo.com, www.rediffmail.com