There are many ways to do this, one of the simplest would be to add a line to your "hosts" file (I believe in Windows it is under C:\Windows\System32\hosts or localhosts).
You should add the follwing line:
nameofsitetobeblocked.com 127.0.0.1
127.0.0.1 refers to your local computer, basically you are telling your computer to re-route any traffic directed to "nameofsitetobeblocked.com" back to your computer, meaning it will never be sent out to the internet.