I've tried a few more options after I marked it solved but there doesn't seem to be a way to do it the way I want using Kaspersky. Using the Anti-Banner seems to be hit or miss, sometimes it completely blocks the page and sometimes it only blocks a few things like CSS and JS files (and it doesn't work at all with redirects).
I don't have a Raspberry Pi or something similar to act as a DNS server for my router right now so I just installed DNS proxies on my machines and set it to block *.zip and *.mov domains and it works perfectly.
If anyone wants to replicate what I did, I used Acrylic DNS Proxy on Windows machines and dnsmasq on Linux. Former is an open-source software and latter is available on pretty much every distro. There are not many alternatives for Windows but any software that works as a "DNS proxy" will do the same thing and they are much easier to set up than full blown DNS servers
For the Anti-Banner, " *.zip/* " and " *.mov/* " rules seems to work best, that also prevents URLs like a1.zippo.example.com/xyz/abc.html and example.com/test.zip/index.html from getting blocked.
