I've read one or two fairly good reviews about
NetNanny , but don't really know.
Depends a bit what sort of age they are, and how savvy. Past a certain age (which apparently is getting younger) if they are determined to look at "inappropriate stuff" there may be little you can do to prevent that happening. There are ways around most parental software. There are ways of resetting the admin account password, which quite possibly the average 12 year old might be au-fait with. And it's quite easy.
Parents I've spoken with, and sensible articles read suggest things like: Have the computer in the family room; not in their bedrooms, Educate, warn, set boundaries (mainly regarding how much information should NOT be shared on line, and why, malware possibility aside, and NEVER to "meet" an internet friend unless accompanied by an adult)... all pretty sensible and logical stuff.
One of my best friends let his kids pretty much surf wherever they wanted, just gave them graphic and realistic (but not too gritty) warnings about the pitfalls, and cautioned them that if malware crippled the computer, it would be re-formatted/ fresh installed.
With the "forbidden fruit" aspects removed, maybe the temptation is less, don't really know. The kids were girls, too, so maybe not the best example...