From our experience, the best product we have found is Websense.  It works with Different Firewalls along with Proxy Servers.  It's not 100% full proof, but it does a pretty good job....
The best feature is being able to select different types or categories of web sites, and when people can use them.  
Spencer
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Spencer Wood, Network Manager
Ohio Department Of Transportation
1320 Arthur E. Adams Drive
Columbus, Ohio 43221 
E-Mail: Spencer.Wood@dot.state.oh.us
Phone: 614.387.0710/Fax: 815.361.0714/Pager: 866.591.9954 
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|  | wgray@wwns.net (Walter Gray) Sent by: owner-nanog@merit.edu
 01/06/2002 08:03 PM
 | To:        <nanog@merit.edu>
 cc:
 Subject:        Blocking Internet Gaming
 | 
Does anybody know of any good software or way to restrict Internet gaming on
a corporate Network?