Follow these steps:
1.In Internet Explorer, go to Tools Internet Options.
2.On the Connections tab, click the LAN Settings button.
3.In the dialog box, select Check box in the Proxy Server section: Use a Proxy Server For Your LAN.
4.Enter any number or word in the Address text box.
5.Enter 80 in the Port text box, and click OK.
Note that adding a bogus proxy to your IE settings will not affect Automatic Windows Updates from connecting and updating your operating system.
Another way to restrict Internet settings via Group Policy.
1.On your domain controller, right-click the (OU) organizational unit that contains your domain users, and select Properties.
2.On the Group Policy tab, click Edit.
3.Expand User Configuration to set restrictions on a per-user basis.
4.Expand Windows Settings, and expand Internet Explorer Maintenance.
5.Select Connection, and double-click Proxy Settings.
6.Select the Enable Proxy Settings check box, add 0.0.0.0 to the HTTP entry, and click OK.
7.Expand Administrative Templates, and expand Windows Components.
8.Select Internet Explorer, and double-click Disable Changing Proxy Settings.
9.Select Enabled, and click OK.
Remember that Enabled sets a restriction, Disabled prevents a restriction from applying to a group of users (even if you enable it for a broader category of users), and Not Configured doesn't set the restriction.
