I too can't speak highly enough about K9 web protection. For a free product, it is extremely good quality. Its unobtrusive, you never know its there unless you stuff up. As opposed to other software, it doesn't have an icon down in the task bar and doesn't hog any system resources.
It gives a great degree of control, with every website being put into one or two categories, and you are able to select which categories to block. For example, categories I allow are gambling and hacking sites, and categories I block are Pornography and Illegal/Questionable. It also has a monitor function which is handy.
It has been 99% effective for me. One site i could access with porn on it, because it was my own personal website, therefore it had not been seen by anyone else and had no classification. Also, unfortuntely, it didn't block any adult newsgroups in Windows Mail.
Overall however, I am very impressed with the quality of this product and I would recommend it to all.
K9 Web Protection - Free Internet Filtering and Parental Controls Software