Is there a way of blocking this files to be executed (i.e proxifier, ultrasurf) and prevent them from running?
There are many users in our company using proxifier to bypass the internet so they can access blocked sites and proxy portable versions are also upgrading and it needs for us to track down all proxy and add to VSE blocking application rules.
If we can monitor those portable applications that they are running and will have a report and generate, blocking will be much easier as we don't need to track down all those machines using proxy.
Your requirements can be addressed only if multiple gaps are closed:
1. Do not provide users with Administrative Access.
2. Use a Software / Asset inventory tool to get an understanding of tools/applications installed on user machines.
3. Enforce stricter Email and Web URL Filtering tools (This is probably your best option here).
4. EIther block or make Removable Storage Devices Read-Only to stop users from bringing such tools on their devices (DLPe can help here).