Marc on the RM Community Forum said this is the cause:
"I have just seen some students using a technique to get around RM Tutor. Basically, when a teacher clicks block Internet, it does just that and works fine. Students have now found that if they open Excel (Office 2003, SP2), click Data > Import External Data > New Web Query, they can get around this and use the Internet just fine. "
And this is the fix:
"Managed to get this issue sorted using GPOs if anyone is interested. We downloaded the Office 2003 Service Pack 3 Administrative Template (ADM) installed on the server and then added to the Group Policy Editor. Then used the disable menu item using ID 30101 (this disables the Import External Data toolbar).
Works a treat now!"
That's for RM Tutor 3 but maybe worth a try.
(Note I haven't tried this so if it doesn't work I cannot offer any further help.)
Good luck!