IPcop has various addons. Although its a great firewall, it seems to me that these addons should be incorporated into the basic IPcop package. One such package is Banish, which allows you to block web sites by IP, CIDR, Domain name, and MAC addresses. Installation instructions are straightforward, and can be found here.
Another addon is Zerina, which is a GUI addon that uses OpenVPN. As of this writing, the Zernia install is a bit tricky. Although the Download/Install link is easy to follow, I found (as of the writing..) that what was downloaded from their web site was a .tar file instead of a .gz file per their instructions. I found that I had to rename the file to a .gz, then I had to shorten / rename the file itself. Then I had to give it privs of 755. Then I ran the following command: tar -xzvf ./banish-xx.xx.xx.tar.gz. After that, all went well.
Once Banish is installed, just follow the instructions on their web site, Under HOWTOs on the left here.