Windows 7 Firewall - Want to block programs access to localhost

I asked this in the windows 7 forum with no answer, thought I'd try here:

I'm trying to block a program from going out to the internet. In the Windows 7 firewall this is easy, I just select the program and block it. The issues is I am using a software proxy (Proxomitron) on Localhost:8080 for all my Internet Explorer traffic (aka, all IE traffic goes to localhost which filters it and sends it out). The program I'm trying to block tries to use the IE proxy settings, goes though localhost and then W7 firewall sees the traffic as from Proxomitron and lets it though. I was wondering if anyone knew how to tell the W7 firewall to block a program from using localhost.

I tried changed the IE proxy setting from “localhost:8080” to 127.0.0.1:8080 and then told the FW to block the programs local access to 127.0.0.1 but no luck.

I could use my proxy to block it but I'm not sure of the full list of hosts it is going to.

Any ideas on other things I could try? Does anyone just know how to config the W7 FW to block access for a program to loopback/localhost or if it is even possible?
Nick