For Firefox there is a good parental control addon called FoxFilter. It uses both a word filter (which actually works, unlike IE’s rating system) and a user-modifiable list of blocked and trusted sites.

For IE, enable the Content Advisor feature. It relies on a per-site self-rating system. I have never found a single site that uses this system, so it’s basically worthless. However if you configure Content Advisor to not allow sites without ratings, it then blocks all sites, and you can add sites to an approved sites list.

Another invaluable Firefox addon is Adblock Plus.