I have a computer at work and I don't want other people to use it for Internet. How can I set a password for the internet?
You could use "Content advisor" to block all sites. Then when you enter your password it enables access to websites as usual.
This is far from the perfect solution, but comes closest to what you want...
Read this for more information/a howto: http://www.wikihow.com/Restrict-Web-Browsing-Using-Internet-Explorer
PS. there are a lot of ways around this solution, you would be better off to put passwords on your pc, and always lock the computer when you leave the workstation.