Configuring Group Policies

I have a W2K Server domain with all XP Pro clients. I am wanting to limit internet access to certain people using group policy. I can not provide a false gateway because the client pcs need that to connect to my WAN. My DNS server is an authoritative DNS server that is forwarding internet DNS requests on to DNS servers provided by my ISP. I have tried configuring a group policy that gives an invalid proxy address but so far I have not been able to get it to work. Does anyone else have any idea how I can do this in 2K server without buying anymore hardware or software? Thanks