Prevention is always better than cure :-)
If you use broadband, and have a decent router/modem, you may be able to block content/access in the router etc.
Although we do this here, We also use IPROTECTYOU (http://www.softforyou.com/ip-index.html) on PCs which the kids use. It allows us to set restrictions on a per MS account basis. Not only for content restrictions, but also internet access time etc.
One of the great features we like about it though is that it also intercepts programs (like MSN), and filters what is typed (inappropiate words). If our son swears, the user the other end sees *** instead. Likewise if they swear to him, he just sees the word replced by stars. The MSN "chat" thing has been a big issue for us, as our son associates with kids a lot older (teens) than him?