i want to know how to block proxy softwares like netshade, hotspot shield etc.

thanks

Install these software in your computer. Start use it. Analyze all of the open connections coming of this softs with netstat. Then take note of the ip of this softwares attempt to connect in the login process (dest ip address). Then you can block all dest ip's in the firewall rules of mikrotik (drop the ips you have noted).

setup transparent proxy