For the records, I post the solution I found.

It is unfortunately not free but still very affordable

http://www.watchdogpc.com/

Watchdog limits and monitors a number of operations for every user.

This utility can run in two modes:

1. One Windows account --> Multiples Watchdog "sub-accounts"
2. Native Windows accounts

In the first mode, there is one single Windows account. "Watchdog users"
have different "Watchdog privileges" (related to its specific features) but
they share the same Windows privileges. This mode is useful when the same
Windows environment, settings and system privileges should be identical for
everybody (a public computer, for instance).

In the second mode, Watchdog uses native Windows account system, with each
user having different environment, settings and system privileges. On top
of that, Wtachdog can monitor / restrict each user with individual settings
or with Watchdog user groups.

Whatever the mode, features supported by Watchdog are:

- Internet White List (what I initially wanted)
- Internet Red list
- Application restrictions
- Time restrictions
- Schedule restrictions
- System operations restrictions
- Silent monitoring
and more.

The only thing missing is print monitoring.

I chose the second mode and in few seconds I configured what I wanted: two
users with unlimited Internet access, four users with White List Internet
access. Since the four users share the same list, maintenance of the list
is very easy.

Watchdog has also server capabilites to connect to a central database of
users.

Overall, the application integrates very well with Windows.

Registration is 35$ for one computer, 150$ for 25 computers or 250$ for
unlimited number of computers.

microsoft.public.windowsxp.security_admin