If they are kids and have a Windows Live ID (Xbox Live, Hotmail, Zune, accounts) you can set up Windows Live Family Safety 2011
for free. There you can say which sites are allowed or not.
I know Norton as something like this as well called Norton Online Family
(There is a free version)
I have only used the Windows Live Family Safety and that was I think.. three years ago?? and during that I know you could set it up per user account. I think Norton would do the same thing.
You could also if you have Windows 7 Professional or higher is allow only a lists of sites that are allowed by Group Policy without software.
Hope this Helps