There is indeed a way to stop users from using particular Windows applications.
Basically, you will need to create a GPO that applies to the users that you don't want surfing the net, as detailed below:
1. Click Start, point to Programs, point to Administrative Tools, and then click Active Directory Users and Computers.
2. Right-click your domain, and then click Properties.
3. Click the Group Policy tab.
4. In the Group Policy Object Links box, click the group policy to which you want to apply this setting. For example, click Default Domain Policy.
5. Click Edit.
6. Expand User Configuration, expand Administrative Templates, and then expand System.
7. In the right pane, double-click Don't run specified Windows applications.
8. Click Enabled, and then click Show.
9. Click Add, and then type the executable file name of the program that you want to restrict users from running. For example, type iexplore.exe.
10. Click OK, click OK, and then click OK.
11. Quit Group Policy Object Editor, and then click OK.
Enjoy!