Blocking a website, which means that if you try going to the specific website in question, you will be routed to an OpenDNS page saying that the site has been blocked.
So in the settings, if you wanted facebook to be blocked but the settings that supposedly will automatically do it doesn't, then you can add in the custom filter section to always block the site.
Or if you are always prevented from visiting yahoo mistakenly, then you can custom filter that yahoo is always unblocked so you can see it whenever you want to without being routed to a not allowed message.