See these articles for more information:
How to change your default programs and enable or remove access to Microsoft
Windows and non-Microsoft programs
http://support.microsoft.com/default.aspx?scid=kb;en-us;332003
How to use the Set Program Access and Defaults feature in Windows XP Service
Pack 1
http://support.microsoft.com/kb/328326
Or....
First open IE, and open the options screen by clicking on 'Tools' at the top
of the screen and clicking on 'Options'., (or go to
Start...Settings...Control Panel...Internet Options)
Click the 'Connections' tab at the top of the new options window that has
appeared.
Click the 'LAN Settings' button that is towards the bottom of the options
window.
Check the box that says 'Use a proxy server for your LAN'.
In the 'Address' field, enter anything - I put 'fakeproxy'.
Click the 'Advanced' button, then in the 'exceptions' text box enter
"*.microsoft.com" (no quotes) and then click OK.
Now IE will only function on pages at Microsoft.com, and WindowsUpdate
Then to prevent anyone from changing that setting, open your registry and
navigate to:
HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Restrictions
Add this key name: NoBrowserOptions
Data Value = 1
This removes Internet Options from the Tools menu in IE
Or....
How to Configure Internet Explorer 5.x to Block Access to All But Approved
Internet Sites
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q267930