I was recently looking at a product called ThreatStop and it looked to be a very good product. It basically blocks outbound (and inbound) traffic from known bad sites, countries, IP's etc etc.
With the tremendous resources Sophos has, I don't see why such a technology couldn't be implemented. While web protection is a good first step, that does not always block corrupt sites when malware is imbeded.
While the goal would be to keep all baddies of a machine in the first place, with the ever increasing rate at which malware evolves, it might be a nice feature.
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