Block Websites & Stop Downloading Using Proxy

/ip proxy
enabled: yes
src-address: 0.0.0.0
port: 8080
parent-proxy: 0.0.0.0:0
cache-drive: system
cache-administrator: "webmaster"
max-disk-cache-size: none
max-ram-cache-size: none
cache-only-on-disk: no
maximal-client-connections: 1000
maximal-server-connections: 1000
max-object-size: 512KiB
max-fresh-time: 3d

Now, Make it Transparent
/ip firewall nat
chain=dstnat protocol=tcp dst-port=80 action=redirect to-ports=8080

Make sure that your proxy is NOT a Open Proxy
/ip firewall filter
chain=input in-interface= src-address=0.0.0.0/0 protocol=tcp dst-
port=8080 action=drop

Now for Blocking Websites
/ip proxy access
dst-host=www.vansol27.com action=deny

We can also stop downloading files like.mp3, .exe, .dat, .avi,…etc.
/ip proxy access
path=*.exe action=deny
path=*.mp3 action=deny
path=*.zip action=deny
path=*.rar action=deny.
/ip proxy access
dst-host=:mail action=deny