There is a new way to surf the Net safely and securely. It's free and it's from Microsoft too!! It's called the Windows Shared Computer Toolkit For XP SP 2. There is a lengthy discussion and detailed info provided by one user @ this DSLR thread.
This appears to be a much better, easier solution than the one posted by Mike Healan recently. And more importantly, almost everyone agrees. I couldn't find a single person to say Mike's solution was a good one. There were far too many potential problems. Check this MS app out.