I needed to restrict a computer in a public area to specific URL related to HR sites. I found this article on taking care of this in Internet Explorer.
To summarize: create a IE ratings file with the following content to restrict everything.
(name "Thumbs Down")
(description "A fake rating service that doesn't rate anything.")
(transmit-as "Please Use The Approved Sites Tab Instead!")
Save as c:\windows\system32\thumbsdown.rat
Open up IE > Tools > Internet Options > Content > Content Advisor
Turn it on and click ok
Goto General tab
Make sure Users can see sites that have no rating is not checked. Leave supervisor can type a password to allow users to to view restricted content checked.
click on Ratings system and remove any previous installed ones.
Click and add the one that was just created and saved.
Click on Approved sites tab and type sites that you want to allow access to.
Then click always.