ffutures | Privoxy?

I've had to abandon my idea of using the Opera site blocker to control advertising - it doesn't make exceptions for local files, and as well as all the adventure files whose names begin with "ad..." the FF CD-ROM has a lot of Victorian advertising, in directories called "advert1" etc and file names like ad10.gif which it won't show at all.

I'm looking instead at Privoxy, http://www.privoxy.org/ which is a proxy server with ad-blocking features. Looks like it'll do what I want, but does anyone have any experience of it?

Later: Trying this at home - it appears to work well.