One way to do it is to open IE. Click tools - options. Click on the connections tab. At the bottom, click on LAN settings.
Check "use a proxy server..." and click on advanced. In the HTTP proxy address type 127.0.0.1 then in the exceptions box, type the list of address you want to be able to visit. Seperate the different sites w/ semi-colons. Click ok out of all windows.
IE should try to use the PC it's running on for access to any site other than the ones emtered into the exceptions box. Since that PC isn't a proxy server, that will fail.