As explained in response to your question on StackOverflow, no, this wouldn't really work. FiddlerCore is a proxy, and it works with HTTP, HTTPS, and FTP.
You're really asking for a firewall, not a proxy. Doing this sort of filtering for multiple users with high-performance typically happens at a hardware level on a router/gateway.
If you're running on a single client, you'd typically implement a Windows Filtering Platform (WFP) provider.
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