Can you try to answer the following questions.
1. What connection methods do you use? NAT / WinGate Internet Clinet /
Proxy / Intercepts?
NAT / WWW proxy server Transparent proxy
2. What version of WinGate are you using?
6.0.4 (1025)
3. Where are you creating the policies?
Users - System Policies
4. What is an example website you want to ban?
Fox example
www.hotmail.com
Here there are ..and thank