Check out
this link. On the page, you will find a downloadable host file thing, and there's also an automated installer to have the HOST file thing installed for you.
Basically, it adds customized entries to your existing HOST files so you get more of the adblocking that you can already do with HOST files, but somebody already did it for you.
Now, if it would work right on your machine, I would think you have the HOST files as normally one should have. And if it worked, you should be able to go to some of the websites listed in the file you downloaded and be told that it's been blocked (or some other message telling you that you can't go there) as expected.
