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Attempting to stop inappropriate Internet access by the methods you are looking is absolutely guaranteed to fail.
I advise you to not even think about going this route, but to do the job properly, which means controlling traffic at the access point, not at the client.
You don't *have* to have a firewall, although it is a very good idea. A (well patched!) windows box with two NICs and a proxy will get you much further down the security route than what you are currently attempting.
A Linux box with built-in firewall and something like SQUID proxy is even better, but would be a problem if you don't have the skill set to support it, and don't have the time to get the skills.
How is your Internet access provided at the moment? Dial-up? Leased-line? Cable-modem?
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