Many people here might be running a SoHo and might have faced the problem of either restricting access to certain websites or simply to channelize all internet traffic through a common internet pipe. When a friend of mine - a non-tech entrepreneur - asked me on how he can achieve this, I went into writing him an email (with multiple embedded links) explaining how to use a Proxy Server to achieve the above. Below is a reproduction for everyone to use:

If you are using a NetGear router, the router itself might have the setting for restricting users from accessing certain sites - check this http://www.netgear.com/lpc or this link http://documentation.netgear.com/wndr3300/enu/202-10301-01/pdfs/Content.pdf - Page 3-1 Blocking Access to Internet Sites

If your router does not have these features then use the method below:

Task 1: Install a Proxy Server on your server machine or any other powerful machine

1. Download CCproxy from this link http://www.youngzsoft.net/ccproxy/proxy-server-download.htm 
2. Install CCProxy with Admin account on a server or any powerful PC you choose as the Gateway PC 
3. Run CCproxy and configure it - read the PDF manual to block specific file types (like exe) or block specific sites (Download manual from here: http://www.youngzsoft.net/ccproxy/download/ccproxy8.0.pdf) 

Task 2

1. Option 1 - Change your Router's setting to only allow the Server to access the internet and disable all other PCs from accessing internet. This will need to be done on the Router's settings and the method will depend on which router you use. For NetGear - check this link http://documentation.netgear.com/wndr3300/enu/202-10301-01/pdfs/Content.pdf - Page 3-3 Blocking Access to Internet Services 
2. Option 2 - Add password to Administrator/Default account on user PC and create Standard user accounts for users to use. 
1. To add password to Admin/ default account - read this http://www.wikihow.com/Set-Administrator-Password 
2. To create Standard user accounts, read this: 
• For Windows 7: http://technet.microsoft.com/en-us/library/ee623984(v=ws.10).aspx 
• For Windows XP: https://www.microsoft.com/resources/documentation/windows/xp/all/proddocs/en-us/ua_user_add.mspx?mfr=true (For Step 4, Choose Limited User option) 

Task 3: (Only if you choose Option 2 in Task 2 above) Disable IE settings changes to Standard users.