There is this app for 30 bucks that is supposed to allow you to set a password to access the internet. Here's the link.
Here's a free app that's supposed to allow you to password protect any exe file. I guess you could use this to password protect iexplore.exe, but there's a risk of messing up your system doing that. Here's the link for that one.
Or, a more complex way might be to create a local security policy to prevent other users of the PC from using IE.
Personally I'd just set a password on my account and not give it to anyone.