How do i secure my router to prevent internet access to some applications?

May be the question has not been put clearly.
I will re-phrase as "How do i configure my router to prevent internet access to some applications" Answer: If you are using a NAT on your router and you can define the an extended ACL as a source-list.
In the ACL you can deny the particular applications port number from accessing all non-RFC1918 addresses.
If the internet access is via VPN then we can still use an extended ACL on the tunnel and achieve the requirement.
If the Internet access is via proxy then we can exclude the applications in the source address on the Device acting as Proxy.
-Hope this has answered your question.
-Hiraman