You could either get some babysitting software (like SurfControl), get a router that has this type of software control built-in, or just remove the gateway and/or DNS info on the client PCs that you don't want to have Internet access.

What program are you using to share the internet connection? ICS?

If restricting access to certain web pages is what you need you could get a software proxy server like Winproxy. It allows you to filter content and you can cache web pages for speedier access. Also has some basic virus protection. A bit of a learning curve if you are new to it, but it's pretty good.
 
If you want a LAN, but do not want the other users to connect to the internet, assign static IP's to the workstations manually. Remember to omit the default gateway so they can't get to the internet.

Just say that you want all the bandwith for yourself, then we'll see what we can do about it

The hard part is there are no DNS numbers on the client machines. They all are assigned automatically. I could probably re-configure everything, but wasn't sure if windows 2000 had a way to do it with say permissions or something.

On my router, there is a section for restricting certain clients(IP's) from accessing the net. The problem is, you would have to make absolutely sure that the said client receives the same IP everytime, which can be tricky when the client machine is a laptop that gets reconnected every morning.
 
Just my thoughts...
 
-Klark