net nannies are Ok as far as it goes but as you pointed out have there little foibles in that they Nanny everyone and you always have the problem in that it is someone elses idea of security that may not be as relaxed or severe as your own, but if all else fails there really is only one soultion to protecting children for the internets nafarious content, that of actually being there when they surf.
One site that may be of help in offering advice is:
http://education.guardian.co.uk/netc...,70512,00.html
There are also the inbuilt security feature in internet options which will allow you to raise the security level of the browser restrict what can and cannot be viewed in terms of visual content, restricted words and sites and has password protection to prevent the little darlings who will I assure you be far more computer literate and capable than most parents give them credit for.
Then there is the Account's feature which will let you set up seperate accounts for yourself and your children and has facilities too restrict the activites of the account holders, something well worth studying.