I never saw anything like that for Windows dns, I saw proxy services that you could run - you said you are trying to avoid that.
So you would be fine editing a hosts file for blocking sites/domains, but not setting up zones for them in dns? What difference do you see between the two.
You could have a batch file BlockThisDomain.com which takes input (%1) and run dnscmd /createdomain %1 (or whatever the correct syntax is), then add some fake records. Seems that would be just as easy as editing a single hosts file.
Thanks,
Mark