I think you might need to disable access to certain applications (the ones he's using for Internet access) for that particular user. This way, he can still use resources located on the local network but he'll be unable to e.g. start Internet Explorer to browse the web. Alternatively, coordinate with your Human Resource department because it sounds more like a disciplinary issue. It sounds like that user is misusing a company computer and company resources (network) for things he's not supposed to do. Thus, a friendly reminder from HR might do the trick.
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