I have never heard of doing this before so my first response was no but I did a very quick search on google and came up with the following, there may be more possible solutions around by using google

http://www.novell.com/coolsolutions/trench/3272.html
or
http://www.askmehelpdesk.com/forum/s...ad.php?p=50141
suggests a tool with 14 day trial which may meet your needs

This Content Advisor way may work, I haven't tested, you could then disable the internet options menu item in internet explorer (or individual tabs of the internet options item) so that the settings can't be changed.

The other option is with internet explorer is to use the internet explorer zones. For your list of approved sites add them to the trusted sites zone and set the security levels accordingly, everything else remains in the internet zone with a security level of high.

You would also want to ensure that these browsers are not being accessed with administrator rights and investigate using the local computer policy to turn the browsers into kiosk browsers by disabling alot of the menu options.

Can you not do this using a gateway firewall, that way any machine that tried to connect out to a non approved website would be blocked regardless of the browser - that seems the logical way to me?