From what I know and that's not much, I don't think you can do it in the native web app as a user, but some of the third party apps give you the option.
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If some 3rd party apps allow this functionality then I hope the devs of all the apps and web app include this option.
I think I read somewhere when I first moved to Lemmy that instance blocking was something they're working on, especially after the flood of Lemmy instances in the last couple of months.
You can block instances in Connect. I have a few blocked so they don't show up in my feeds.
You can only block their communities
If you use connect for lemmy you can block any user community or instance at will with a single press.