Today I learned from Steve Moffat about Internet Proxies. The type of proxy we're talking about here are websites that filter the Internet for you. Traditionally these were used by schools to filter the Internet in a manner appropriate for children. When I was in the educational tech support business most schools subscribed to a service to filter the Internet for them. On the tech end we'd redirect all Internet requests to the site we subscribed to and simply didn't allow any other sites. Worked great.
Of course, someone figured out, and about 700 or so people copied the idea, that they could put up an Internet proxy that does no filtering. Why? To get around the URL blocking that you've put in place of course. Say you're blocking users from getting to yahoo mail, if the user can get to the proxy site they can enter mail.yahoo.com and bring up yahoo mail and your URL blocker is none the wiser because the mail site is being viewed from within the proxy site. Fun!
The solution is to get Steve's proxy site block list.