I initially found out the problem, within the rule I had set the Rule Type to Program, entered the file name and that was it. What I discovered was that I had to toggle the inclusion status to Exclude and it blocked the file from being executed, or so I thought, it turns out if I add an executable and set the inclusion status to Exclude, it blocks all executables from being run!
I'm lost now, I've followed the very vague KB article mentioned above but I either get nothing blocked or everything blocked executable wise!?
I did open an SR and close it again when I thought I'd cracked it.