Hi locithcm,
Not sure if this is what you're after, but if you go into Proxy - HTTP - Default Policy you can file types into the Blocked MIME types.
So for instance for AVI you'll want:
application/x-troff-msvideo
video/avi
video/msvideo
video/x-msvideo
Have a look at
http://www.webmaster-toolkit.com/mime-types.shtml for a big list of them.
Hope this helps!