It depends what you exactly want to have, if you have a server/gateway between your client and the internet you can always use Squid and Junkbuster (on that machine). You can also use this programs localy on your client if it's a linux machine (is there any win32 ports available, anyone?).

To secure your surfing I'll recomend you to use Squid proxy cache and Junkbuster to filter url's and stop ad's etc. Junkbuster can work standalone or in conjunction with Squid.

You can find Squid here and Junkbuster here..

Happy surfing !!