You can set Internet Explorer to block adult sites that use ICRA labelling by going to "tools" -> "internet options" then selecting the "content" tab then enabling the "content advisor". However not all adult sites use the ICRA labels.
There are third party software although I don't have any firsthand experience of them. Here are a couple of review sites though:
Take a look here......
http://www.swingingheaven.co.uk/main/parental-control.html
hmmm...nice one guys.....i tried that ICRA one.........but wenever its activated, you cant access anything AT ALL...it says Unable to find Website (like it does wen ur not connected) but wen i deactivate it...it becomes alright..........iv tried to mess with the settings...but no luck!
If you mate has an Internet security package on thier computer, something Norton, McAfee or Trend then they usually come with parental control software. I've not used it so cant say how good or bad it is but might be worth a try.
Nortons Internet Security will allow you to set that up.