Hmm.. I may not have been clear. You don't have to allow *any* sites. Once the password is set, IE can still be opened it just won't access any web page, anywhere, at all. At that point when the user (in your case the one girl who is allowed) types in a web address it will ask for a password before it connects to the site.
The problem with trying to put a password on Internet Explorer is that it is part of the Windows operating system. The same code that IE works off of is used when you browse your hard drive. In fact if you open your "My Computer" icon you can type a web site in the address bar and it will show it to you, just like IE. I think a external password program might create some issues trying to open documents, files etc... from the desktop. Maybe not. Windows can be weird about that kinda stuff sometimes. I really didn't like any of the "Password Protection" programs I tried out when I was looking around for a solution to a problem similar to yours.
Anyway, I know the Content Advisor seems a little funky but its really not too bad, and I genuinely think it will be your easiest/best/safest option. Let me know if you find something else that works though, I know I've got to setup two computers in my office for the same sort of situation in the next couple months (As soon as I stop being lazy and reinstall the OS on those boxes...) Maybe give it a shot though, it only takes about five minutes to setup and can be undone in even less time if you don't like it. (heh, you have to click the "disable" button and enter your password)
Like I said though, if you find something else that works, shoot me a PM or post it here, I'd love to hear about it. I could really use something like that.
- Andrew
PS Write the password you use down somewhere. (I'm sure you do this anyway) but its not fun to fix if you forget it
