Actually, I think IE has PICS rating built in. So, if adult sites policed themselves by putting PICS ratings in the html,
http://www.w3.org/PICS/, it would cost nothing.
There are other blockers out there. Newer netgear routers include a filter that is pretty darn easy to set up. There is a minimal subscription cost for it.
There are a number of blocking programs that range in price from $9.95 to $89.95 with the average probably hitting $29.95. Some require subscriptions to access databases that are updated, i.e. the old beverly project which was later replaced by the library project that became the basis for NetNanny.
http://www.icra.org/
http://www.cybersitter.com/ ($39.95 for US Residents)
http://www.cyberpatrol.com/ ($39.95 for US residents)
http://www.safesurf.com/ (You register your adult domains here, libraries and other organizations use this data. Some ISPs subscribe)
These are just a few.