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Is there any program that is similar to Window's parental control, which allows site blockage and download blockage?
I think this is a great question, and shows that you care about your children.
That being said, most people using Linux will think of you as a freedom-stifler for even suggesting such an idea.
I personally feel that if you really cared for your children you would do one of three things:
All of these personal qualms aside, I think I have a few solutions for you:
try looking up "whitelist" and some linux terms to find info on how to effectivly control internet on a PC with linux.