This topic seems to be a question that many are asking on the internet, but not getting the answers that they want. Before we dive into this, I would consider using a third party filtering service for blocking web sites. One of the purposes of Group Policy is to make life easier for Network Administrators. By taking on the responsibility of choosing what are appropriate websites, you are opening up yourself for a lot of work. By using a filtering service, you are paying someone else to do the grunt work. Also, many will filter your email. Should you lose your email server, these services will cache your email and deliver it once your server is back online.
The following article tells you how to use group policy to control website access. This is not necessarily for server 2008, but it gives you guidance.
Others are utilizing ISA server. I have even found some that are using a HOST file that points websites that they want to block to 0.0.0.0. This technique will require the replacement of the HOSTS files on all your clients and a way to update them. Again, think about using a third party for your web filtering.