I'm guessing you'd have to setup some sort of VPN that they couldn't modify and have traffic routed through a proxy that way...though I think that would be very inefficient and internet performance would likely suffer.
My non-expert/non-professional way of doing it would be setting up hamachi on each of the computers, all set to the same network as the proxy server they're routed through. Then restricting the hell outta their rights to various system settings (internet options, regedit, gpedit, secpol, installation permissions, etc...) so they couldn't bypass it.