Here is a link to one way to do it using the IE administration kit.
restricting acces to IE fonctions
You can also restrict their access using the security policys. I am not on a windows machin at the moment but will post the information when i find it.
Other than that It is always better to do as the captain says and also block the traffic if it doesnt come through the proxy.
Found this one also just before i posted looks more like what you want.

policy settings
I am sure you can apply the same policys on the domain policy editor.

hope this helps.