Yes, you can. Take a look at c:\windows\hosts.sam.

Create a file called c:\windows\hosts and insert a line like

127.0.0.1       spammer.com

to block the domainname spammer.com. Incidentially, you can even add

127.0.0.2       project1
127.0.0.3       project2

and configure a webserver (e.g. apache) to run on these adresses, and you'll have a nice way to test-drive your websites, if you develop any.