If you don't have a proxy server, you can also go into group policy->User->Administrative Templates->Internet Explorer in order to disable IE. You can also setting permissions on Internet explorer executable or (whatever browser you are using) so that the user won't be able to use it.
The easiest way to do it is to create a policy for "No Internet" then configure that policy with a ficticious proxy server. Be sure to check the box for bypass proxy for local sites so they can still access your intranet.
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