lifehacker, had a great article on parental control/filtering software. The article lists five popular and FREE web filtering software and lists their strengths and shortcomings. It's a great way to decide which filtering software is best for you.
This article came at a good time for me. I have been mulling around on getting some filtering software on my computer since my six year old is getting more interested in using the web. From the list, I chose to start with Open DNS. We'll see how it goes.
Like in the article, you can't completely depend on one bit of software to protect your family, but every little bit, all working together helps. You can adjust settings on your firewall and ad-block programs as well.