Here's a couple ideas:
In IE enable content advisor, Tools, options, Content Tab, enable the content advisor and set a password. then block all sites.
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In Internet Explorer, click Tools > Internet Options. Click on the Connections Tab and click Lan Settings. Click the "Use a proxy server for your Lan" check box and type in 127.0.0.1 as the address.
Unfortunately, if your users are at all technical savvy they can undo this. You can use group policy (either domain or local) to block access to this area. Note that domain policies will affect all users in the domain so if you are trying to block a specific user you should set the policy on the local machine. In Group Policy go to User Configuration > Windows Settings > Connection > Proxy Settings and set the proxy address 127.0.0.1. In Group Policy go to User Configuration > Administrative Templates > Windows Components > Internet Explorer and enable the "Disable changing proxy settings" policy.
Having said all that, none of what is suggested here (including content advisor) will affect third party web browsers like FireFox. The only way that I know of to truly block internet access is at the head of the network on the router.