Along with the good software options:
Do you have a usage policy for your company that specifically says they are NOT to use the Internet to connect to "offensive material" such as porn sites, etc.?
For that matter if you did, do your users know that they are not allowed to do this by penalty up to and including termination?
Even better, go and show that user that YOU know where they are going! J.R. Juiliano
Information Systems Specialist
Tri-City Emergency Medical Group