Bob,

A lot depends on what type of access the users have on the computers and how smart each user is.

You might be able to easily control some users with some cheap methods, but the more intelligent or savy users will probably get around most things you try.

In order to really control the workstations you will need to either be well versed in network/desktop administration or purchase 3rd party tools to help you.

Having a proxy server that the clients must use would be one good way to control IE but perhaps not other things you may want to control.

You could add a TON of Websites in the LMHOSTS file to use the local host 127.0.0.1 but that is hard to manage and there are millions of Websites

Fortres has some pretty good software for controlling systems, but is not free.
http://www.fortres.com/