Today's Baltimore Sun talks about the trend of businesses limiting employee access to the web. The article cites 'security' and 'productivity' concerns, which are obviously true.
But having access to the web at work also creates employer liability of harassment and discrimination - for example, if one employee sees on a monitor something that would make him or her uncomfortable (sexually explicit photographs, religious statements, etc.) - that could make a case for harassment.
In addition to a firewall, businesses should absolutely have a statement in the Employee Handbook stating access to the internet is for business use only. Most lawyers I speak with would also add a statement indicating the employer has the right to monitor employee usage of the internet and e-mail.