The best software out there isn't software at all but restricting web access through DNS restriction. Sign up for an
OpenDNS account (which is free) and you can limit what your children have access to by pointing all of your DNS requests at their servers. I would set it in the router (you do have one, right) and force your PC to get the DNS setting from the LAN side address of the router.
If your kids are older and can figure things out you will also need to set up a restricted access account in Windows and make sure the security policy limits their ability to alter the DNS settings or set up a proxy for their browser. If you are running Windows Vista or 7 there are additional settings in the control panel.
Lastly, and this is just as important but often overlooked, teach them about the dangers online. Just like in real life the most dangerous people online aren't strangers but their friends and themselves. Posting naked pictures of themselves or friends seems harmless to tweens and teens but those are out there forever. Threats against people or themselves are also serious, even if they don't seem like it when they are through the Internets. These are the most pressing threats for kids online. Of course adults posing as kids in chat rooms are problems and should be addressed but those are much easier to spot and control then friendly predators. Don't just block, explain good web practices and I would never allow a computer in the bedroom. Until they are older make the computer be in a common area of the house.
I am involved in the tech community and these kinds of things come up often. Good luck.
.
