I found MS Proxy's 2.0 usefullness VERY limited in terms of content filtering. You can manually setup filters for specific ip addresses and protocol types, but it's practically useless in terms of managing users. You can't write content rules or anything on the fly.
What you are looking for is third-party content-management/reporting/internet-filtering software.
(MS's latest proxy--Internet Security and Acceleration Server has many more features for managing the content your users access, including firewall capability. And they give you a 120-day demo to evaluate it. You should try ISA for free before spending $2000 on content-filtering software. And then it's only about $600 per processor, retail.)
MS's ISA is lightyears ahead of Proxy 2.0., but in the end you may wind up purchasing filtering software for ease of administration.