Which carrier do you have? Some carriers have their own call-blocking feature, which you can access either on their own app or on your account page website.
Another option is to add the number you want to block to your contacts, then edit the contact, tap Menu, then check the All Calls to Voicemail box. This will at least prevent the phone from ringing when they call, but if they want to leave a voicemail, you'll still get that.