I'm a senior at college and I live off campus with a couple of my friends.  We have a cable modem that is hooked to a router so that everybody has access to the internet.  The router is in my room.  My roommates don't always pay their bills on time and therefore I would dissconnect them from the internet by unplug their ethernet cable.  I reciently discovered that instead of unplugging their cables there is an option in the router so I can pick and choose who can and can't access the internet.  
I was told that another feature available is the ability to block certain applications.  For example, blocking internet access from aol instant messanger?  Am I really able to do this and If I am then how do I do it?
What if I wanted to block certain websites?  Am I able to do this?  
I don't have a gateway machine set up.  Right now I have a cable modem and a router.  Would I need a gateway machine to block certain applications or web sites?
Thank You
-edwardsen35