Blocked how? CB AntiSpam block or just blocking their Joomla account? If CB AntiSpam block it already includes the functionality to specify a message to display to them. If Joomla account block you'll probably need to add some sort of behavior on the onAfterUserLoginFailed trigger, but it doesn't include a user object. Its available variables are as follows.
Code:
$_PLUGINS->trigger( 'onAfterUserLoginFailed', array( $username, $password, $rememberMe, $secretKey, &$return, &$alertmessages, &$messagesToUser, &$resultError ) );
Be careful on what you output with that trigger as it is used for all failed login attempts (e.g. password is wrong).