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:
Keep the computer in a public place and watch with them, as you should a TV. You cannot trust any site blocker more than you can trust modern TV rating systems. Last time I watched a G-rated show with my nieces it had over 6 innuendos to sex, I lost count. And told my sister never to let them watch that show. They did not like it much any how.
Use the root account to find out what they have been doing...
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.