You know is better to setup and manage this kind of application on server side, there are some good DNS filters and with the combination of a well setup linux/bsd server you can easily do all this with 100% security and anti (cheats, proxy, vpn) from users. Also it will be platform free and compatible with any device like PC (any OS), Mac, smartphones,tablets, video game consoles, routers, wireless routers, etc..
My guess is you want a Delphi program because is your main programming language but trust me client side code is not as viable for this kind of project, even if is for Home users you can easily set it up on the cloud and resell as a service.