If everyone is using the same computer...it would be best to setup the children's accounts as "Limited Users" through the Control Panel/User Accounts. Of course, there would need to be an Adinistrator or Administrator...this being the parents, of course.
If you need help with the above...just let me know and I can help you configure the children's accounts as "Limited Users"...it is fairly simple, though. Just open User Accounts and add the users as you see fit...setting their accounts as limited. This means they have limited capabilities on the computer...preventing them from downloading and installing programs. Only Administrators can do this.
The next thing I'd do is to password protect your Administrator account, so that they cannot use it without your knowledge. Make sure you use a password they will never figure out and make it a combination of upper and lowercasse letters along with numbers. This will make it very difficult for them to figure out...but make sure you remember...keep the password in a safe place.
Now that we have the user accounts out of the way...it would be wise to use only one browser, such as Internet Explorer, to access the Internet. In the long run, it'll make everything a little easier for you, as well. So, if the kids are using MSN Explorer...you may want to uninstall it...and say "Hey, kids...this is what I want you to use from now on..." know what I mean?
Now that you've decided what browser you want to use...say Internet Explorer...go into Tools and then Internet Options.
Within Internet Options you can turn on and also password protect the Content Advisor, which will limit what your children see...based on the information you use to set it up. For more on the Content Advisor read
this. It'll tell you all you need to know about using Internet Explorer's Content Advisor.
Now...if you want to block access to MySpace...simply open Internet Options...click the Security tab and then select the Restricted Sites icon and click the Sites button. Here you will be able to restrict the sites you don't want your children to visit. Simply type the URL (Address) of the site you don't want your children to visit in the Add this website to the zone box...then click the Add button. Now they won't be able to access it. Of course...they'll come crying to you saying..."I can't get to MySpace." If you want them to view it...just go in and remove the site from the Restricted Sites list.
It may appear to be a little involved...but it's well worth the time and effort you put into it.
I hope you've found this information useful...and if I can be of any further help, please let me know.