These are a few good applications that ive seen used, for great results
Net Nanny
CYBERsitter
CyberPatrol
Safe Eyes
Id recommend Net Nanny overall just because of ease of use, it takes minutes to install and is a bit more user friendly, but CYBERsitter lets you have realtime remote viewing of whats being viewed on the computer supposing your on a laptop elsewhere in the house. Most come with free trials if you want to take them for a spin, Net Nanny is lacking in the aspect that it doesnt have pop up blocking, all of the softwares listed above have daily time limit options so that after an hour or whatever you choose, internet is no longer available, all of the above offer you the option of individual accounts so that you can individually control what each child can get into, or if you want to use their computer the blocks are deactivated.
Having the computer in a common room as Jeff mentioned is always helpful as well, many of my neighbors houses with young children have computers in the kitchen or living room areas for the children to use, allocating internet usage times if you haven't already prove useful, If you find some time, take a peek at Consumer Reports for their reviews on these products
Good Luck,
Rohith