Try going tools->internet options->content(tab) and click "settings" under "Content Advisor." On the windows that appears, select the "approved sites" tab, enter a website, and then select "never" instead of "always." After that, click on the "general" tab and add a password which will prevent anyone from editing your settings. I also recommend checking both options under "user options," as it will cause far fewer annoyances.

Hope this helps,
John


P.S. Keep in mind that another user could still install an alternative browser to view the websites. Thus, use Windows XP's settings to give other users as little access as possible.