i suggest using opendns..its not a software but sure thing it will keep bad things away from your kids
There are a lot of programs for parental control. For example I use Dutywatch by Actymac. But i have a mac. And my child is under my full control. It can be called paranoid, but it's better just to know what sites he climbs.
K9 Web Protection - Free for personal use! PC and Mac - Easy to configure, Transparent for ALL browsers and you can also setup times the kiddies are aloud on the internet.
Parental controls in vista and 7 are good, if you have 7 an need the web filtering you need to download live essentials, if you don't want the othre stuff just select the family safety portion.
If you're using Mac you can just turn on your @parental control@ option in your system preferences. For bigger you need to buy a keylogger. I'm using ProteMac KeyBag. Not for parental control, but for bussines needs)
I used CyberSentinel about 5 years ago with my kids. It has an active and a stealth mode, and will email you when it is triggered.