If you're using a router then they often have access restrictions you can set yourself to stop them from viewing certain sites.
Obviously though, the list can go on and on! Then the kids will get clever and they'll start using proxy sites to get around the web-nanny!
Try something like NetNanny, ContentProtect, CYBERSitter etc.
Those three are the best from what I've heard, I have no personal experience with them though (other than what I've mentioned with the router - but that was just to piss my brother off!).
Cheers,
Andy