Here, Group Policy can only control Internet Explorer natively. If you want to control any other browser, you will need to create your own templates or search for a template that works with the browser you are using.
If you are using Internet Explorer, then there are built-in policies to control what you are looking for. Go down to the User Configuration|Windows Settings|Internet Explorer Maintenance|Security node. Under this node, you will find the Security Zones and Content Ratings node. Double-click here and you will open up a dialog box. Click the "Import the current security zones and privacy settings" radio button, then click the Modify Settings button next to it. Here, you will see that you can configure "Restricted sites," which allows you to configure specific Web sites that the user won't be able to access.
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