Limiting user access to the Internet on Windows 2003 SBS

We have inherited a Windows 2003 SBS domain and our client wants to lock out all users except a few from browsing the Internet. Is there a Group Policy template or way to do this for specific groups of people? We do not want to lock the PCs, just the users.
The only way to do this via Windows is to use ISA Server or a similar proxy/firewall product. Alternatively, some hardware firewalls will allow you to prevent Internet access from specific IP addresses, but that would lock an entire computer and not a user.
This was first published in June 2005

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