You're looking for iptables and firewall rules. Could work like that

iptables -A OUTPUT -j DROP
iptables -I OUTPUT -d 192.168.0.1 -j ACCEPT


But keep in mind, this will block ALL other traffic, so you'll need to have console access to the machine. and replace 192.168.0.1 with the proxy IP for sure.

If the proxy server is also the gateway you can also add the port to the 2nd iptables statement p.e. -p 3128 for squid proxy so the server can only connect to the port.
2nd you also have to keep in mind, that DNS requests will be blocked as well, to enable them you'll need to add a second rule to enable DNS requests

iptables -A OUTPUT -j DROP
iptables -I OUTPUT -d 192.168.0.1 -p 3128 -j ACCEPT
iptables -I OUTPUT -d 192.168.0.1 -p 53 -j ACCEPT


Prevent internet access except for one server?
I have a PPTP VPN set-up on a windows 2003 domain controller. Every attempt to connect to the VPN from a client running XP sp3 fails with a 619 error. Googling around I've found a 2006 thread on Google Answers that points to issues with the Cisco VPN client, that sure enough is installed on the client box. Stopping the "Cisco VPN service" from the MMC console fixes the problem (quitting the vpn-client isn't enough it seems). 

Has anyone else experienced this? Any idea what's wrong here? 
