How do I disable downloading from the internet from group policy?

I would like to disable users from downloading things like toolbars and other junk on their local machines.  I want to make a group policy to not allow them to download things from the internet but still grant them access to the internet.  I'd also settle for blocking file extensions from being downloaded like .exe.
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MYCUConnect With a Mentor Commented:
I don't think there is really a way to do this through group policy. Do you have a firewall in place by any chance? There are firewalls that allow you to block .exe and zip files.
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