You can use GPO to get a solution
Here are some links to give you an idea
http://searchwindowsserver.techtarget.com/tip/0,289483,sid68_gci1239111,00.html
http://www.nutts.com/internetaccesscontrol.doc
You should also disable the Connections Page in the Internet Explorer Options via:
User Configuration --> Administrative Templates --> Windows Components/Internet Explorer/Internet Control Panel -->
Policy = Windows Components/Internet Explorer/Internet Control Panelshow
Setting = Enabled