Home proxy server Software
There used to be a real market for Windows proxy software. I ran Winproxy (now owned, but no longer sold, by Blue Coat Systems) for many years in the days before routers became cheap. You needed a program like that to connect your internal network (which were comparatively rare in those days) to the Internet. But sitting in the middle, it was in a position to do a lot more. I ran anti-virus on it and, the main point of the program, the proxy also provided caching of Internet sites.
You may want to force usage of the proxy, especially if you're using content filtering. DiFiglia discusses how to do this; his method is to set his router not to accept any connections on certain ports (such as 80 for HTTP) except from the IP address of the Windows Home Server. If the point is to control access for kids you might also allow access for computers you know the kids won't be using.
Then he gets into the actual content filtering. As he says, it's a lot easier for you, as the administrator, to run a whitelist than a blacklist, and if you're making the restrictions for kids this makes even more sense.