First check of the Content advisor options in IE (you didn't tell which version, in IE8 they are in the Content tab of the Internet options) are sufficient. See
http://www.wikihow.com/Restrict-Web-Browsing-Using-Internet-Explorer for an introduction.

If not, find a Parental Control program (even if it isn't your child you want to restrict, but some other user) that suits you. I think it comes with some Internet Security Suites (like Norton, and others), but there are also stand-alone programs.
http://www.google.com/search?q=parental+control is a good starting point

Kees