If your client is 2k or XP pro. you can configure group policy to force that machine to use an unchangeable proxy server...then put in a bogus computer name or bogus IP address for the proxy server setting. This assumes the user of the computer is not an administrator. You can also deny the use of application iexplore.exe which will give an error when they try to lauch IE.
I am a net admin for a state agency and use this on 2k and XP machines that have been banned from internet usage.
I am sure you can also edit a file on SME to accomplish this as well since you can basically make linux do anything you want if your willing to research and learn it.
good luck,
ryan