Had this problem too.
Add -* to the top of the filters list(under Scan Rules in options for the
windows client) and at the bottom add your urls like so:

-*
+*.png +*.gif +*.jpg +*.css +*.js -ad.doubleclick.net/*
+*bbc.co.uk/radio*
+*bbc.co.uk/programmes*
+*bbc.co.uk/music*

This will exclude all and then specifically include all png,gifs, jpgs, css,
and js files that don't have anything to do with doublick.net and will include
other items from the specified directories.