If you have another machine running (or even just on that one machine your kids use),
http://www.dansguardian.org/ is ideal and not all that complicated to setup in order to provide decent content filtering. It also allows yourself unfiltered accessed, whilst maintaining different lists for your kids. I don't know of anything similar to NetNanny under Windows in terms of an app that could sit on the machine your kids use, but DansGuardian isn't all that hard to configure.