Depending on what router you're using, there is possibly a router firmware that could at least deny access and provide a reason. Also, using OpenDNS would potentially give you this as well. To do so via OpenDNS though may be a fee based service, not sure as I only use the free option.
you coudl also set this in the lmhost file and redirect it to another html page that you have stored on your computer. Below is a link to modify the lmhost file if you can not access it. http://support.microsoft.com/kb/923947