Local Policy to restrict Internet Access

I have created a workgroup (not in a domain because i want to have full control to these computers & therefore have administrative rights) consisting of 20 computers, all connected to Corporate LAN and a proxy that gives access to Intranet and Internet. My question is how can i restrict the users to access the internet and use only the Intranet. Some of these users are smart to tweak the Internet option. Is there a way to create a Local policy to disable the Internet option and that only those with administrator right can access the Internet? Please help!!!