Certain client pc's? Do you have access to these pc's and are they a reasonable small number?
If so, enable content advisor on internet explorer (if that's what you're using....) on each client and go to approved sites, add your urls and say never. By enabling this feature it asks you for a password so it's pretty secure from user tampering.
I'm assuming the web sites they're accessing are yours as you say they can access these sites through your web server, and not through your firewall or router....
If so, and the websites are running on IIS you can restrict access to the web sites by IP address or domain names.
Under IIS manager go to the web site, right-click properties, directory security, and click under 'ip addresses and domain name restrictions' click edit and add the clients ip's.
If they're getting access to external internet web sites via your web server then it sounds like your web server is already a proxy server of sorts?
Sleigher