Supervision and education aside,
Try "Untangle" on a firewall box between them and the internet. Then it doesn't matter what OS they're using, or if they're using an iPad, iPod, or other device to access the internet either.
Untangle is free (at least the lite version, which is actually more than enough for home use), and will run on an old or cheap box. I have mine running on a book-sized PC I built for under $200, including an SSD HD. It's a Linux-based firewall/NAT/more.
It'll filter ads (common malware sources), malware, phishing attacks, intrusions, website filtering (whitelist or blacklist) by content type, block certain protocols (TOR, etc.). Basically, you can lock it down tight. My kids are still too young to intentionally get into much trouble yet, but it protects them from the inadvertent trouble. But - it was enough to totally frustrate my teenage nephews over Christmas - and the logs show they weren't able to get around it (which was a good test!).
Check it out.