What types of sites? There are a number of family filters available, if you're trying to block out adult content. Googling "Family filter" or "Content filter" will bring up quite a few in the first page of results. Most of them do more or less the same thing, which is preventing access to pages with certain blacklisted words or letter combinations found on the page, blocking known adult sites, and sometimes alerting you via email if such sites have been visited.
If you're just looking to block people from browsing facebook at a school or buying stuff off of BudK, or something like that, you'll probably want to look in to setting up a proxy server. It's a lot like a content filter app, only it's a bit more specific in website targeting and can be applied to a wifi network instead of just the computer itself.