how to block open proxy in mikrotik

Dear Friends,

Please be informed that I have a Problem, I can Block the facebook but some user use the third party software and use the
Open proxy and thy use the facebook. Please give a solution how to block the open proxy and proxy software.

Regards,

I assume you are referring to sites like HideMyAss?

The simple answer is: Using a blacklist approach you will never be able to block a significant number of those sites, there are just too many.
Thus if you really need to block it, you will have to go switch to a whitelist setup.