Use the ability to create a logon script, and the ability to use regedit to import registry settings to accomplish this.
1. Create the registry scripts needed:
. Internet_on.reg
Open your registry and find the key below.
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
Export this key as Internet_on.reg
. Internet_off.reg
Change the value of "ProxyEnable" and set it to "1". Change the value of "ProxyServer" and set it to an IP address and port that is invalid on your network such as "10.0.0.1:5555" (i.e. "IP

ort"

.
By changing these settings Internet access will be disabled for any applications that rely of the Microsoft proxy server information such as Internet Explorer, Microsoft Office, Opera browser, Mozilla, etc.
Export the key [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
again as Internet_off.reg
2. In the logon script for users you either place the on or off registry key file with the following syntax:
regedit /s Internet_on
or Internet_off.reg
Note: The change will take effect immediately for any new browser windows, existing Internet Explorer sessions will not be affected until the browser is closed and reopened.
3. If you have relatively clever users, they could change these settings, unless you stop them.
To stop users from modifying the proxy settings add these restrictions to disable changes to the Internet configuration.
Find or create the key below:
[HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Control Panel]
Create two DWORD values named "Connection Settings" and "Connwiz Admin Lock" and set them both to "1".
Make certain you create and export a second registry key set where both values are set to 0 or you will not be able to change your connection settings either!
Source: from an idea found in winguides.com