May not be a good idea to block to many ports. Generally your router should allow normal things like web browsing, email, ftp, etc. Incoming obscure ports/IP's should already be blocked if your router has PAT and NAT.
What you need to do is block the application (which is what I do) and Zone Alarm is good at blocking programs. It will ask you if you want allow MSN access to the internet just say no and 'remember this setting'.
Apply Deny All first and then open only the ports you need - at first these will be absolutely none.
Most routers only allow configuration of Incoming connection filtering, so really you shouldn't have any incoming connection allowed at all, unless you run a server of any kind.
As for blocking your users from accessing outgoing connections: routers will not do it for the reason I wrote in the previous paragraph. If this is your need, then you should consider a hardware firewall for an entire organisation (there are some boxes that will do this, including for example Chili box and some other dedicate appliances) or consider releasing a software firewall with central configuration where an administrator can deploy policies that can not be changed locally by users.