1- Enable the URL filter , Select Deny for the URL.
2- Make sure the computers using the link has the router as their DNS server
3- Make sure you have the very latest firmware
4- Make sure you have not set any PC Privlages
I am using the Cable version at home and URL filter works a treat ! ADSL version in my office also works just fine
Example of rule, to block Yahoo for example:
URL/Keyword field: yahoo
Mode: Deny