Blocking Internet access on Terminal Server locally using using GPO’s

Open the gpedit.msc from the Start, Run

 Under User Configuration, Internet Explorer Maintenance, Connection, change the Proxy settings value and port.

Once this is done. Change the Settings under Administrative Templates, Windows Components, Internet Explorer, Disable changing proxy settings to Enable. By doing this the user cannot change the proxy settings.

By doing this when the user open internet explorer, it always points to the ip 0.0.0.0 which does not exist in the network and the internet page shows the page cannot be displayed.