I assume you use Internet Explorer and want to block some website from being accessed on your computer. For this you can use Content Advisor.
In IE, Do this :
Tools > Internet Options
Click on Content tab.
In the Content Advisor frame, click on Enable.
Now in the Approved sites tab, you can manage the websites that you want to block or approve to the users.
And on the General tab, set a Supervisor Password so that only you can change the settings.
Here is a screenshot :