However, take a look at MS Family Safety:
I use this on my step-sons PC. It's fantastic.
You can set up the times they can use it, what programs they can have access to, etc.
You get reports on what sites they have been to and you can add and delete from the list of sites you allow.
It also lets you set the ratings limits for games as well.
You can set the parental settings to several different levels.
Anything they need access to and can't get to they have the option of emailing you for permission (which you can give from any PC) or you can just enter the password on the prompt if you are nearby for them to have access.
There is a Firefox add-on called FoxFilter that is only 9.95 a year that I used when he was much younger. It worked very well as well.
No matter what you do, they will find whatever they want to in the end. There are a lot of sites out there with very innocent names disguised as 'forums' and 'newsgroups' where all kinds of crap can be posted. Even if you don't set any parental controls and want to give them some measure of trust, the Live Family Safety can allow you to see where they have been so that you can look at the sites and decide for yourself.
They will know you have it turned on as a little pop-up comes up. SO it's not like you're installing a keylogger and trying to hide it from them. I went through it setting by setting with my step-son when I first started using it. I started using it when he was at an age where I was more concerned about protecting him than I was about what he might be looking at.