It could be done on dansguardian, and endian seems to take the correct files and do some work with them, but I didn't investigate further.
You need to download a greater and a more updated blacklist to have a regexp url filter, like the one in
http://urlblacklist.com/?sec=download.
Change the /etc/dansguardian/blacklists folder with the contents of this zipped file, and add the attached file to the same folder (removing the .conf, it should be named just categories).
Fix the owner and permissions if necessary.
If you check the file
/etc/dansguardian/blacklists/ads/expressions you'll see just what you want.
Endian seems to use those files, but I didn't track down why the proxy isn't using the bannedregexp files.
About blocking the chat. It blocks ebuddy and others, just update your blacklists.
If not, you can also try the Intrusion Prevention system, is useful to block chats inside webmail (Like yahoo webchat). Click the yellow triangle on IDS rules to block the traffic instead just notify you.