A standard way of doing this is to run a firewall or proxy server on your Server that monitors Internet requrest. Microsoft's ISA Server 2004, for instance, used on Windows Servers, can easily track every user's requests to the Internet, as well as about anything else you want to monitor. You can also deny access to web sites and control the "surfing" hours allowed.
Windows XP itself has no built-in monitoring ability, other than the I.E. "History Cache", which is easily erased unless you limit user rights. And gathering the Cache data from multiple computers would be a bit of work.
There are 3rd-party control and monitoring programs, including key loggers, that can be installed on individual computers, too.