If you're just blocking certain sites, you should be able to do it via the hosts file in each account.
Do accounts have separate hosts files? If so, this would be my preferred method. Can you do:
127.0.0.1 *
or something similar?
No, there's only 1 Hosts file, so putting the blocked web site addresses into that would restrict them for all users.
If you've got the paid for version of Zone Alarm you can enable the Parental Controls, so that a password needs to be entered to access a wide range of categorised web sites eg Religion, Shopping, Chat rooms etc etc.
There's quite a few other standalone software control programs. Net Nanny seemed to get good reviews.