We use NetNanny over here.  It allows you to program your system so that the sites that you want to use can be accessed all the time, OR you can override the system each time.

Sometimes it can be a pain because if a site isn’t "rated" it errs on the side of caution and blocks access.  When we were going to Las Vegas there were several sites that we couldn’t get access to because it was a little racy.

For added monitoring, we have a button up by our search screen which will give you a list of the last several sites that has been visited by the user.  I found out that my son (and an older neighbor friend) tried to get on to Pamela Anderson’s site but were denied access.  I wonder what they were looking for ?(;>)

Good luck.