if you use an ISP like AOL, they include server side filters so there is no way to bypass it, but many other isps do the same aswell, so check with your isp.
There are software solutions that do it, but these can be broken by a lot of people.
I wouln't reccoment using internet explorer's built in filters, it is very dodgy and a pain to get rid off.
http://www.cyberpatrol.com/
http://www.netnanny.com/
http://www.softforyou.com/
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