I have a coder building a similar thing as we speak. StickyMail me in a week or so if you haven't found an alternative solution by then and I'll send you the code.
What I'm having built is something that logically works like this:-
1. If the link is to my domain, then echo out the straight link including any requested anchor text, e.g.:-
<a href="http://trillians/widgets.html">Trillian's Widgets</a>
Get's echoed out as it is.
2. If the link is not on one of my domains then echo out the link preceeeded with "http://mydomain/redirect.php?url=" and leave the rest (so anchor text is the same), eg:-
<a href="http://someone-else/widgets.html">A N Other's Widgets</a>
gets echoed out as:-
<a href="http://trilian/redirect.php?url=http://someone-else/widgets.html">A N Other's Widgets</a>
This is for a forum (tracking outbounds), but it would work for what you need to do, you would just need to edit it to echo out nothing if the URL matches the URL that you want to supress.
PS Welcome to Webmasterworld!