Internet Filter Software

Greetings,

Since there has been a recent thread on spam I thought that it would be a
good time to bring up a related topic.  I'm looking for opinions,
recommendations, warnings, etc. of Internet filter software for home use
such as Net Nanny and Cyber Sitter.  Are they set up as a proxy server or
are separate copies required for each PC?  I've got several small kids,
each with their own computer that can access the Internet.  So far we've
controlled things by not allowing them to get online unless we are
supervising.  Still, we want to be have things under control before puberty
hits or they accidentally stumble on to a site with inappropriate pop-up.
Thanks in advance.

Dave