go to www.privoxy.org
for free proxy servers.
personally I like winroute pro from www.kerio.com
, it does cost, but it comes with a package extra called the Orange filter, this lets you specify categories of websites that are disallowed rather than the squid method of you havnig to manually enter disallowed sites.
the orange filter site list is maintained by an external company so you don't have to do anything other than switch it on.
That will be able to help you sdtop kids going to anysite they are not meant to.
all of those proxiesthat I mentioned also allow you to set a login so that you can have reports generated with usernames next to the sites they visit (handy if you have to dish out disapline, because there is no denying that it was the person in question!)