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If you are trying to stop people accessing URLs other than a sanitised few, what you are suggesting is not sufficient on it's own.
You users could create a shortcut with the links that they wanted, could use embedded HTML links in (say) Word or Outlook, easiest of all they could simply type the URL into Windows Explorer instead of IE - I'm sure you could come up with half-a dozen other work-arounds if you thought about it for a bit.
If you want to restrict the sites accessed then you want to use something like an authenticating proxy or firewall / router rules.
If you just want to present a menu of options and you don't want to get into real control and restrictions then create an HTML page with the authorised links on and run IE in kiosk mode.
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