A hit on my sciencebase article about frustrated magnets came about through a visitor searching Yahoo! for “material that blocks magnetic forces”.
Physlink provides a nice answer to the question of whether a “magnetic insulator” exists. The simple answer is no: Is there any material that can block a magnetic force?
Lead certainly doesn’t do it, and it’s all because of Maxwell’s Equation. You can of course re-route a magnetic field and supposed shielding materials exist.