Other people have recommended Windows Live Parental Control (or whatever the funky name might be) to me, I'll give it a try. I'll also have a look at Naomi, mentioned earlier in this thread.
I do agree with f0dder in the distrust this kind of software instills. I'm planning to use it at home for my 4 kids (aged 13,12,7,6), my elder son don't need it any more (he's 19)... As a father, I think you should not rely exclusively on a pseudo-automatic system, this should not prevent you from educating your kids (also explaining why you're using a parental control system).
Thanks all!
Cheers /jerome