DNS Angel is a tool which can change your DNS server to a more family-friendly option, instantly blocking many inappropriate websites (porn,phishing sites, known malware sources and more).
The program couldn't be much simpler. It's a tiny download (506KB), doesn't require installation, and on launch just presents you with a few buttons for the DNS servers it supports (Norton, OpenDNS and MetaCert). All you then have to do is click "MetaCert DNS", say, Windows will immediately be updated to use the MetaCert DNS servers, and from that moment you'll find that adult sites are blocked.
DNS Angel worked just fine for us, but if you do have problems then you can click "Restore DNS" to restore your original DNS settings, or "Default DNS", which allows Windows to obtain your settings automatically (they might be assigned by your router, say).
This plainly isn't the most solid of parental protection tools. If a user on your PC finds DNS Angel then they can run it, and restore the original DNS settings with a click. Or, if they've any technical knowledge then they can do this anyway, just via standard Windows tools.
If you're just trying to protect a very young child, though, or you supplement the program with other measures (having them log in with a limited user account, say), then DNS Angel could be very helpful. And it's certainly easy to try.