I can well understand your concern over having your kids exposed to some of the unsavory parts of the Internet, but it seems that it might do you better to talk to your kids and keep in good communication with them, than trying to block their access to certain Websites. As you've mentioned previously, your kids are pretty good with the computer, so they would likely be able to bypass your efforts.
It seems to me that if you used a proxy via Perl, it would be fairly simple to stop it. A CTRL-ALT-Delete would activate the Task Manager, and your kids could then either kill the application, or simply kill the processes that are running that have to do with proxies. AFAIK, it's also fairly simple to just use the browser's preferences to disable or bypass a proxy.
Having said all that, you might want to try the documentation found at HTTP::Proxy, which appears to have some of the missing pieces for your script. Good luck in your endeavors.