A quick search via google or one of the other major search engines will give you quite a list is my guess. The only one I do know about is NetNanny but havent used it myself, I think there are quite afew freeware ones too, so have a look out for them before you decide too spend any cash on a commercially developed solution. I think different programs also work to filter different types of content such as adult images or adult language,chatrooms or IRC or ICQ etc. Some programs will only block specific websites you know about, some allow whole web domains like for example yahoo.com or such like.
*I think you can also set -up from within Internet explorer on the advanced settings (have a look at the advanced settings via "Internet options" see the various tabs and one of them is entitled content (see the tabs security, content & advisor), see the content advisor especialy. I think you can also built up a list of restricted internet sites (but you do have to have the websites address or URL's) via the security tab.