Actually what you ask is pretty easy. You can use what are called blacklists (do not allow these) and whitelists (allows only these) available in most firewalls. I'm not sure whether XP SP2 firewall has whitelists, but most of the freeware firewalls do have this facility.
Actually i want to block all sites on net.. Except only one of Office...
LOL... Office Workers access many sites and erase history.. i can not catch all this