If you click on Windows Vista Web Filter, you will see the display shown here. One of the great features of Windows Vista Parental Controls is that you can choose whether to block everything and list only the sites or applications you want the account to have access to, or you can allow everything and just list the sites or applications that you definitely do not want them accessing.
For younger children, I highly recommend selecting the Block some web sites or content radio button at the top and then checking the Only allow web sites that are on the allow list checkbox under it. Then you can add the web sites that you are willing to let your child visit to the Allow list. It is much simpler to list the sites that are OK to visit than to try to block every site with inappropriate content one at a time.
The default web restriction level of Medium is probably good for most children that are old enough to be surfing the Web, but again you may want to set the web restriction level to High for younger children.
At the bottom of this screen, I recommend that you check the Block file downloads checkbox. This will prevent any files from downloading either intentionally or maliciously and protect your computer from a variety of malware attacks.