Skully,
I'm inclined to agree with John Doe.
I've controlled the internet access of adults in the workplace (Who actually act very much like children when it comes to the internet) and while it certainly can be done, it's a more daunting and time consuming task than it sounds like even when you have the proper resources. (e.g. GFI Web Monitor running on an MS ISA server --My "weapon" of choice.)
A lot depends on the level of computer expertise you are trying to control, but the downfall of client based solutions (Software that installs on the machine the user is accessing the web from) is that they can usually be defeated at the client level.
For example, there's free software out there that will defeat and disable most Windows blocking schemes including Net Nanny, Cyber Patrol, Surf Watch and Cyber Sitter. Most computer savy teens know this.
Gateway based approaches work much better, but unfortunately, aside from whatever controls your ISP might provide, most homes don't have a gateway that can be controlled
Take the typical home network topology for example:
Cable/DSL Modem ----> Router ----> Desktop(s) and Laptop(s)
The gateway here is the router itself and the computers are all peers. While some home type routers do allow you to create blocklists and shut down ports used by IM software, most don't.
Even with a gateway based approach, there will always be holes. For example it's possible to modify URL's in ways that defeat AOL's parental controls. For a long, long time, this could be done just by adding an extra dot at the end of a blocked site's address.
The kids at my daughter's high school had a good laugh a year or two ago when they found out that is was possible to modify the URL for Google's "Translate this page" option to set the source and target languages both to English. This completely fooled the Symantec Gateway Securty software the school was running and allowed them to veiw any web content they wanted.