Novice Admin Seeking Firewall Reccomendation

Hello all. I am currently looking for firewall software that will allow blacklisting of proxy server connections to clients on my network. I am not running HTTP traffic/a website, but server connections through a proprietary python application which has zero capabilities for network detection/moderation. Currently I am dealing with harassment from a single user using proxy servers to defeat a basic IP blacklist through the router's firewall. I realize stopping -all- proxy traffic is not a good idea in general however the program I am running has no need to be proxy friendly, so this is the easiest choice for me.
Can anyone point me in the right direction, or towards an alternative solution?
Thank you.