You could simply add a non-existing proxy to your Media Player
configuration:
"UserConf\Adm Templ\Windows Components\Windows Media Player\Networking\"
Policy "Configure HTTP Proxy".
I haven't tested it yet, but you maybe could also work with the
"Streaming Media Protocols" - setting.
Depending on how "clever" your users are, you would be better off using
a firewall/proxy-server denying there kinds of internet access. But for
the start, these two settings should do well.