Lock Down Internet Access

I administer a small network, Single SBS 2003 Server and 10 workstations. The network gets internet access through a broadband connection hooked into the server through a second NIC. Pretty basic setup. The domain security locks down everything except the internet connection. If I plug a laptop or PC running most any operating system into one of the network ports, I cannot access domain resources, but I can get right onto the internet without authentication of any type. I’d like to lock that down…is there anyway in SBS 2003 to require domain authentication or some other password protection before allowing access to the internet connection?