Block Internet activity through software

Have you looked at Windows SteadyState (http://www.microsoft.com/downloads/details.aspx?familyid=d077a52d-93e9-4b02-bd95-9d770ccdb431&displaylang=en) ?

you can use any firewall for this purpose like ISA server. Or if you want to just block sites on a single system then you can do this as shown in the link

http://farjadarshad.blogspot.com/2009/05/how-to-block-site-on-your-computer.html
to manually add applcations like GTALk you have to give there application address like following
talkx.l.google.com
chatenabled.mail.google.com
Block these IP's for GTalk

     216.239.37.125
     72.14.253.125
     72.14.217.189
     209.85.137.12

Block these IP's for MSN Messanger:

64.4.13.171 - 64.4.13.190
207.46.106.1 - 207.46.108.254
and the IPs 65.54.239.20

what you have to do is just put these ips and web addresses into host file as shown the link above.
For further you can use following as well
http://www.pccare247.com/
http://www.monitoring-softwares.com/parental-monitoring-software.html
http://www.netdogsoft.com/
http://www.microsoft.com/downloads/details.aspx?familyid=d077a52d-93e9-4b02-bd95-9d770ccdb431&displaylang=en

hope this will help you

I'd recommend Windows Steady State like mop_se said.

Another two options would be something like OpenDNS (www.opendns.com) or if you want it to be server controlled, Untangle Web Server (www.untangle.com)

Windows steady state won't fulfill my requirements
I don't had ISA server, I just had a single computer

Depending on your network, if you have Exchange? you can configure RPC over HTTP using SSL and then you can control access to the internet using a proxy server. You can configure the proxy via your Router/Firewall.

In Internet Explorer, goto

Tools, Internet Options, Content. Enable Content Advisor and set a password.  

The user will not be able to open any website without the override password.

Thanks