I want to also point out for the more technical among us:
Welcome to Express 3.0! - SmoothWall.org
Smoothwall express does all the things unixknight's C program will do, plus a lot more. It's also free. Not to mention smoothwall works at the network level, at opposed to the local level, so there is no chance of more technically minded kids being able to bypass the program. Smoothwall is used in many schools and colleges around the world. It also has a free addon called dansguardian which is a free filter, which is also very common in schools and colleges - we use it in the college I work for.
As for the discussion on parents watching what their kids are doing, by all means keep an eye on them, but be careful how much you snoop on them and don't prevent them from accessing too much. I know some parents ban all forums, chatrooms etc. when this is not always a good thing.
I've been extremely interested in computers since I was 11 or 12 years old. When I was about 16, my mum thought I was using the internet far too much and attempted to ban me completely (the only potentially questionable thing I was doing was visiting an lds chatroom - I definately wasn't visiting any dodgy sites). She didn't and still does not understand the internet or computers in general, so instead of trying to learn, she just banned me from what she was unfamiliar with. A completely understandable reaction from a parent, she didn't understand it, the authorities were saying it can be dangerous and I was spending a lot of time on it, so she completely disallowed any access to a computer with an internet connection. She didn't see any need to have access to the internet as it was not something she had ever had to do as she grew up (it didn't exist obviously). Any access I absolutely needed to have, I was watched by a member of the family as I worked.
Now that ban only lasted two or three months, mainly because I didn't stop complaining, not to mention I had access at school which she knew she couldn't stop me using. While her reaction was understandable, she made a very stupid decision. Because of her lack of understanding and her refusal to learn, she could have made a very negative difference in my life had I not complained about her desicion as much as I did. I've already said on this forum that I work in IT and love the work that I do. However the majority of the knowledge that I have, has been gained from researching on the internet. Had I been banned for years as a teenager from accessing the internet, like my mum would have ideally wanted at the time, I would never have gained that knowledge and most likely would not be where I am now and that would likely have a drastic effect on my career.
I just wanted to point this out. Don't stop things for your kids because you don't understand it. Instead try and learn it rather than boycotting it.