NT4 proxy server.

I am running a NT domain with MS Proxy server on my BDC. It was brought to my attention that personnel are connecting their personal laptops to my domain to surf the internet. I have limited bandwith, and am trying to stop these intruders from gaining access to the www. What I have noticed is that if I remove the proxy setting on IE I can still surf the net. Is there anything I can do to prevent this?