In Internet Explorer :
Tool\Internet Options\Content :
Enable Content Advisor.
Select the Approved Sites Tab...
Enter in www.yahoo.com
and select the DENY button.
You will be prompted to enter a "Supervisor" password that you will need to create.
This will prompt for a password everytime yahoo.com is accessed.
Now, Im sure there are ways to get around this... ex: using firefox and using Google to trick IE...
Also, Make sure you put a rating on all sites... the content advisor will see the unrated sites as "Bad" sites...