As far as I am aware, there is nothing in the Windows O/S that allows you to control this. For the most part, split tunneling is controlled at the corporate firewall/VPN. Many of the VPN devices can determine if the client that is opening a tunnel also has split tunneling enabled. (See a previous question that I answered on this topic.)
On the other hand, Microsoft has announced that Windows .NET Server 2003 will enable the administrator to control split tunneling. See this article on Microsoft's Web site for more information (search for the word "split"). Since this is not yet a released product, it is hard to tell how useful that will be.
For more information on this topic, visit these other SearchSecurity.com resources:
Ask the Expert: Solutions for split tunneling with Microsoft PPTP
Ask the Expert: Split tunneling in a VPN environment
Best Web Links: Infrastructure and Network Security
This was first published in December 2002