If you can, set up a local network and only have the Proxy server box hooked up to the Internet. Configure the proxy to filter out the "bad" sites or subscribe to a list that sends updated files that list the bad sites that children shouldn't visit. Make sure that the proxy logs every site visit to a log file for each day. Then review the web sites. If you see any porn sites, etc, have a serious talk with your children.

If you cannot set up a network, see if you can find a proxy service on the Internet you can subscribe to that can block out the nasty sites.

Also keep away from "Warez", "Cracks", "Hacker", and "Romz" sites because they usually have banner ads to porno sites. Just a click and a jump and away they go.

[link|http://www.junkbuster.com|Junkbuster] is one proxy to look at, I think they let you set one up on your on computer. They do Windows as well as Unix. See if that could help you.