Stop running IEXPLORE.EXE in Term Serv

I assume you are using Windows 2000.
The easiest way of doing this is by enabling IP Filtering and make sure you block TCP port 80.
If you do this you have to make sure that ports needed for communicating with your network are not blocked here is a list that might help.
First allow all traffic for UDP.
TCP # 53 DNS
TCP # 25 SMTP
TCP # 110 POP
TCP # 3389 Terminal Services
TCP # 135, 136, 137 NetBios
LDAP whatever port it is set on your network needed for Active Direcotry.
I don't know what other ports you might need but I beleive the above is a must.
Just denying access on NTFS level for the IExplorer.exe will not help, sincy you can still type http://www.whatever.com at any prompt or address bar and it will still work.