Policy for Windows Media Player

[John]

Windows 2003 R2 Std SP2 Active Directory
Windows XP Pro SP2, Media Player 9

Don't know if this is the right place to ask. If I'm in the wrong group,
please let me know which group is more appropriate.

I'd like to prevent Windows Media Player 9 (and later versions) from
accessing the internet so users can't use the bandwidth to listen to
internet radios, watch movie previews etc. Removing default gateway isn't an
option because users must still be able to access the internet.

Does anyone know how to accomplish this? Use GPO?

Thanks much.