Just today, I've gotten squidGuard setup to proxy and filter my 6 year old son's computer. He could easily change the proxy but he's not there technically.... yet.
The only reason I finally setup filtering was he somehow stumbled onto a porn site through some link or other. He's been surfing the web for over a year now and this has never happened. Also, some scum web site changed his home page to be some portal which had loads of 'bad' links.
When he gets a little older, I'll pick a different solution that invisibly proxies and filters. I did a quick scan of software that sits on a person's PC and none seem to fit my needs.
squidGuard (which runs on my Linux box) wasn't too bad to setup. Not something that mom or dad would be comfortable with. I also used the 'chastity' package from one of the debian download sites. Chastity provides a large selection of blacklisted web sites and url patterns. Since I use debian and it's wonderful package management, it's very easy to update that list.
Ultimately, it's almost impossible to fully 'protect' your children from internet junk with a technical solution. There are just way too many ways to circumvent the filters. You have to start with discussions about the values that are important to you. Follow that up with ways to protect yourself online. Finally, you just have to bite the bullet and place the computer in a publicly visible location and keep an eye on things. And then, just trust them.