It's fairly easy, but kind hidden. Go tools->internet options->content tab->settings (under "content advisor")->approved sites tab. Type in the web site url, then click "never" instead of "always." Afterwards, click "OK," and you should be prompted to create a password. While you're in there, you can also edit settings based on ratings (language, violence, etc).
NOTE: These settings can be easily bypassed if the user downloads, installs, and uses another browser (say, Firefox), and there is no real way to stop this. Plus, he/she could always use a proxy server to "mask" what website is being accessed, or try to crack your password/hack IE.

However, some of the filters you can upload from "content advisor" can help prevent this from occurring. In addition, it is recommended that the users be kept on "limited accounts" if using Windows XP, and that a third-party application (such as CyberPatrol, which limit website usage, restrict program access, and block proxy servers) be installed to provide further protection from those who really want to access those sites (and various files on the workstation).

Hope this helps,