and in an open forum like this you are going to get a range of answers, from 'why use any parental control?' to 'lock it down with a padlock'.
I don't subscribe to either of those extreme views.
You don't say what Operating System you have, or are thinking of getting, and that could be significant. For example, parental control, (parental guidance), on a Mac may be very different than the same on a Windows based system, Windows XP has poor 'in-built' controls, but Windows 7 is much better.
An indication of what Windows 7 can help you with is here;
http://windows.microsoft.com/en-US/windows7/products/features/parental-controls
That software you offered is spyware. It is a Keylogger for the Mac, although that web site also mentions PCs. It would be your decision to go this severe route immediately, but there may be better solutions.
I would first see what the Operating System you are using/planning to use offers, and decide whether or not that is sufficient.
As always with children, the first lesson I would give is, never give personal information away in chat rooms. You never know who might be chatting.
Mark
Hey,guys, my daughter is 10 years old now. She has been starving for a laptop for a long time. But I am afraid that she may visit some unhealthy websits. It seems that this parental control is very popuar online, but none of my friends has ever used it before. Can any of you give me some advice whether it is useful?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic