OpenDNS is awesome for this purpose ... one thing not mentioned here is it has some halfway decent reporting capabilities too, so you can not only confirm that your kids are being blocked but what they're being blocked from. That info gives you a great segue into what should be an open discussion.

I recommend OpenDNS to pretty much everyone, kids or no, as part of installing a secure computer.

As others have alluded to, you can't stop kids from eventually getting where they think they want to go - IMHO your best bet is to be as aware as possible of what they are doing (and trying to do) so that you can help them in making sense of what they will be exposed to. The reporting features of OpenDNS, combined with tracking Google search history is a great way of staying informed.

full disclosure: i have interviewed david ulevitch (founder of opendns) on my show a while back, but other than that have no ties to the company, financial or otherwise.