[Dizzyfish]

I know this is a years old post, but I found it while trying to block access so I guess others will too! Here's my method:

Proxy settings are allocated to individual users. If you use a fake one it fails to connect to external sites. Login as the person you want to block then in IE:

Tools -> Internet Options -> Connections -> LAN Settings.

Now tick 'Use a proxy server' and enter something rubbish in the address field i.e. werwerwer. If you still want local sites to work (i.e. something on your network) tick 'Bypass for local addresses'.

Now when anyone tries to connect to the internet they get a Page cannot be displayed error. Because everything seems to share this connection, it will also block MSN Messenger.

Not hi-tec, but it works and most people wouldn't know where to look to undo it. If you want to block even this, read some of the info about about group policies and block editing IE's config.