My nightmare is over! Finally found an easy (but not free) solution!
Let me share with you guys the results of my tests!
OpenDNS, PithHelmet, the famous "etc/hosts" command on the Terminal, Northern Softwork's Hostal, Mac Os X's Parental Control and most of the traditionnal Parental control softwares
ONLY ALLOW YOU TO BLOCK ENTIRE DOMAINS.
If you have young kids that you wish to protect agains general categories of websites or specific domains (but not specific URL or subdomains), all these previous softs I mentionned will do the job!
BUT
If like me you need to block a specific URL (for exemple, just one specific page on myspace.com, BUT NOT all the pages on myspace.com), you can install K9 Web Protection (for free!). Be aware that when rying to access a URL you volontary blocked, a "K9 filter alert" will be displayed, and you cannot change,redirect, or personalize that displayed page.
FINALLY
If like me you need an application that will be completely transparent when blocking a website, an application that lets you block either categories of websites, subdomains or very specific URL's, you need...
Content Barrier (Mac or PC, 30 day free trial available, or else you'll have to buy it!)
That soft is amazing, the only place you can locate it on your computer is in "My application". When accessing a prohibited URL, it lets you choose where to redirect it (in my case, for prohibited myspace.com/exemple, is automatically redirected to myspace.com) which simply looks like the page doesnt exist or a bug, or something weird but for which my teen cant blame me!
There are also many features to receive printscreens every 1 minute or 1 hour of what's happening on your computer, you can also schedual whatever you want or dont want your kid/teen to do, it's very easy to set up, and it's got more features than I'll ever need to use!
There's also one complicated/free way to accomplish this, but be prepared to read and get headaches before you ever reach your goal! Just in case you want to follow that trail here's what I had gathered :
macosxhints.com - How and why to use the Apache proxy server
DansGuardian - True Web Content Filtering for All
Upside-Down-Ternet
Thanks to everyone who offered me their help and suggestion!
