There is an easy way to do it, but you need to a) have access to their PCs and b) they not be too tech savy to work it out :)
Assuming you're on XP then find your "host" file - it should be in C:\Windows\System32\drivers\etc - open it in Notepad and you'll see something like:
>>>>>>>>>>>>>>
# Copyright (c) 1993-1999 Microsoft Corp.
#
# This is a sample HOSTS file used by Microsoft TCP/IP for Windows.
#
# This file contains the mappings of IP addresses to host names. Each
# entry should be kept on an individual line. The IP address should
# be placed in the first column followed by the corresponding host name.
# The IP address and the host name should be separated by at least one
# space.
#
# Additionally, comments (such as these) may be inserted on individual
# lines or following the machine name denoted by a '#' symbol.
#
# For example:
#
# 102.54.94.97 rhino.acme.com # source server
# 38.25.63.10 x.acme.com # x client host
127.0.0.1 localhost
>>>>>>>>>>>>>>
At the bottom, add in more lines for the sites you don't want them to visit. e.d. 127.0.0.1 www.ebay.co.uk will send all requests for ebay to an invalid address, effectively blocking it.
when you're done, save it and reboot and they shouldn't be able to access it.
It's not hard to get around, but for most people who don't know what they're doing with PCs it'll be enough to stop them from bothering.