To do this varies with the OS and is not assured unless you dig in deep. For most it's as simple as disabling the DNS entries in the TCPIP settings and adding that one site to your HOSTS file.
It's slightly technical and if you ask how, then you are not ready to do this.
i am using Internet explorer - 8. i want to restrict the usage of internet and allow access to only one site. how should i go about it