you would basically run the computers which access the internet through another computer specifically setup to act as a firewall / filtering system for these computers which will log all information going through it.
This way you can set rules to limit connectivity or services and log all internet activity. -- This is not 100% secure however its reasonably effective

Any filtering or log software that is dependent upon running on the system being filtered is very easy to get around

The Australia government for example spent $84 million dollars developing software for this purpose which was cracked within 30 minutes of going live

http://gizmodo.com/gadgets/porn-for-all!/australian-84-million-porn-filter-thwarted-by-16+year+old-293419.php

Its knowledge that will achieve what you wish to do, however your chances of successfully achieving that with Windows on its own and not running though a proxy server is slim as in reality it can not be locked down without reducing functionality.

With OSX or Linux you have a pretty good chance if you understand it