Follow these steps to create the App Rule policy blocking the PHProxy site:
N.B. If you have subscribed to the Premium Content Filtering Service (CFS), you may create a specific policy blocking www.myspaceproxysite.cn, which is rated under Category 28 (Hacking and Proxy Avoidance Systems). In this case, use of the App Rules feature would not be necessary for this particular site, but would continue to be effective for other similar proxies.
For more information on how to configure the Content Filtering: Using custom Content Filter policies to block Internet access to a specific group (CFS + ULA + local groups)