internet permissions

i have an nt server…we use exchange for our email…i have about 100 workstations…probably 150 users…is there a way i can control internet permission to our proxy server by user logon?? i can change the proxy address on the physical machine with a dummy proxy, but they know how to change it back or tell it to auto find…i have some users who are authorized and alot who are not…i have win 95, 98 and 2000 os workstations…i want to know is there a way i can control internet access through the users logon…either it gives permission or denies…
thanks
steve