You should look into any number of third party
applications like Net Nanny that can do this.
There is Content Advisor in IE that gives some
form of protection for browsing but it is based
on voluntary ratings by the website owners.
Otherwise, Microsoft software for this operates
on servers, not on client machines.
Microsoft MVP (Windows Server System: Security)
MCSE (W2k3,W2k,Nt4) MCDBA