1. Create one OU, move your users to that OU, and then right click that OU, properties, Group Policy. How to create/apply GPO??? you can read the help file is easy.
2. ON Group policy windows, expand User configuration | windows settings | Internet Explorer Maintenance | Connection, double click Proxy Settings (from there you can allow them to access some websites also)
3. To prevent users play with the proxy/network configuration, go to User Configuration | administrative templates | windows component | internet explorer