1) DFL is gateway (it's concept from 3rd OSI layer), but it can do something on 4th layer with HTTP ALG - for example, to block some URL's
You should set DFL as your default gateway in TCP/IP options
You don't need to specify DFL as any proxy server
2) You'd better to use IDP to recognize IM and block it
But, you will need to activate trial signatures and after year - you should to buy it
Other way can be to block nets/ports required for this protocols
3) You can use pipes with grouping by source IP