do you have windows 7 yet? In Internet Explorer you can do "In Private Browsing" where it doesn't keep track of your cookies, history, etc.

and seriously, why is he allowed to tell you which website you can go to and which one you can't? It seems like he may have some security issues.

Also, you can find therapists that have late appointments/weekend appointments, so you wouldn't have to miss work.

Have you tried talking to him? Make some demands, it's your right. Give him the ultimatum that you either go to the therapist, or you come on here. Don't let him run your life.