I know that there are some routers that support filtering of web addresses, but AFAIK you need to change the settings on the router to bypass them (which is why I've never looked into this feature on mine).
Although many members give good reasons for hating Norton (and I have some of my own), I do use Norton Internet Security at home for its parental control features. It supports different restrictions (by user class) for individual Windows users. I haven't configured it to work as a "white list" but believe it can be done. You can also turn it off by entering a password.
There are often pretty fair rebate deals on Norton products. Assuming my rebates ever arrive, my 2006 update should be free (Fry's sale price - upgrade rebate - Norton rebate = $0).