Hi Bill
Are you running as an administrator, if so then the parental control website filtering will not work, and you will need to set up a lesser account, (Power User is ideal as it gives you most of the administrator account)
The easiest way to do this, is to set up another account as an administrator, (Password protect it and make sure you don’t loose the password) then change your existing account to a Power User account, and you should now find that the parental website filter will now work.
Hope this helps

Bill