Note for Vista only!
You have to go into the Control panel>user accounts section there to setup parental controls. Once you are user accounts you look for the "Set up Parental Controls" option seen there.
The two links here will provide information as well as other references to look over. Since XP never saw any parental controls built into it the first link here is for Vista.
http://windowshelp.microsoft.com/Windows/en-US/Help/585539d0-0862-41e4-9b39-53467648efc51033.mspx
You should already have "contact management" seen in XP by this time since that was seen back in June of this year as an update for XP. The second link here provides information on that as well as the new Windows Live feature built into Vista.
http://news.cnet.com/2100-7355_3-6049294.html?part=rss&tag=6049294&subj=news
Unfortunately that is mainly intended for managing email contacts in Outlook Express and not any filter for IE browsing. For that high security settings in IE 7 seeing an antiphising filter and not IE 6.0 full of security holes if you are still using 6.0(IE 7 would be on already with automatic updates). Other 3rd party IE security tools would also be a help.