How to stop downloading from untrusted websites?

I am running Windows XP Pro on my home PC. When I am at the office, everyone in my house are using this computer for various purposes. I never locked my computer due to general use of my family member. Internet is available in my computer, but the problem is when I am not at home some of my family members use untrusted websites for downloading. And this download is also unnecessary and contains adult contents. So I want to stop this type of download. How can it possible without locking the administrative user?
