I use IProtectYou from
www.softforyou.com as a web filter ($34.95 for 1 pc). It is pretty good and configuarable eg it lets you permit/deny sites/words of your own. It records what sites have been visited, and logs all banned pages (these can be banned silently, or with large signs that pop up on screen). It can also send you an email with a snapshot of what's on screen when it triggered the filter. The filter can be disabled temporarily with a password (useful for allowing single sites) and cannot have settings changed nor be uninstalled without the password. It can also be run for networked pcs where it logs from either pc and allows rules set on master pc to affect client. All in all pretty effective - no I don't work for them.
I also take the opportunity to discuss with my teenage children any banned pages it finds.
doesn't do anything bout the problem of downloading files though - some of that is down to educating the children.