In my online early years, I used to connect to the internet with a free service: davide.it, which provided a reliable connection and an adult-, violence- and gambling-related content filter.
I am simply too lazy to sign a new contract, so when I signed up for ADSL with a major provider I did not care about signing up for a filter service. Today, I have learnt that OpenDNS (which I am currently using) launched its adult content filter service: it is free, and looks easy to configure (I will try it myself, after dinner).
DNS (Domain Name System) is the system which serves as a sort of phonebook for the internet, translating human-readable addresses into numeric ones: the filtering service will simply refuse to "resolve" the addresses that are likely to give us content we do not want. Adding the fact that OpenDNS is highly (and transparently) reliable, I strongly feel like recommending it.