Get yourself Firefox, with the Add-ons "Addblock Plus" and "Flashblock". Addblock Plus comes with a list of hundreds of URL's to block, and lets you add or delete if you need to, and maintains the list. Flashblock puts up an icon where any Flash would show, and you have to click on the icon if you actually want to see that Flash.
Hardware firewalls will let you add your own URL's to filter, But each one has to be typed in by hand, and their interfaces tend to be slow and tedious.
With Firefox, Adblock and Flashblock, it's all pretty much automated.
Yes, entering a bad URL once is better than entering it N times. But entering it zero times is better than doing it one time.
I do have Firefox with those items, but I can't monitor or use the same thing on my kid's computer because they don't use Firefox.