The short answer is, with WinXP, you can't do this.
This thread discussed exactly this.
It seems it can be done with WIN2K, as a fellow poster states.
Also in that thread, we see where I can be a jerk. Go me.
And to steal a quote from a user (by the name of "MPT") at another forum, where they are discussing the filtering of content for children:
"Letting your young child wander through the information superhighway by themselves is equivalent to letting them wander across a real highway by themselves. And technical `solutions' (such as this one) are never as good as the human ones.
The only effective solution to Doug's problem is to actually spend time with the child when he/she is on the Internet. And hey, if you do that, you might both learn something ..."
Which is an idea you may have to consider. The content advisor is not nearly as effective as a parent with the child. Also, it took me one search to find utilities to rip the content advisor apart so kids can go around it. One Search, and about 19 seconds. I bet your kids can do the same thing.