Limiting Internet Access on Thin Clients

Can you tell me how to limit internet access on a thin client running terminal services with Server 2000 or Server 2003. I would like the server to maintain the ability to access the internet, but would like the thin clients to no have access to the internet. I know that I can deny permissions to the browser, but this isn't taking the access away.

 

Make a firewall rule preventing http/https access from the terminal server and out on internet. They will still have access to internal servers.