The way I do it with my kids is this, when I send them an approved link, they can play the game all they want.
They may explore the page to their hearts content, but they may NOT click on any link without my express permission.

Sometimes I send them links to a site instead of just a page. I have taught my kids to look at their link address bar at the bottom of their IE page.
When they hold their pointer over a link without clicking, it will show them where the link would take them should they click it.
My older children have permission to click on links that stay within the same site.

Child safety on the internet is 99% common sense. I have the computers in a main area of the house, I work along side them at their computers,
 I monitor the older childrens contacts and mostly,  I stay aware of what is going on.
When I leave the house, most times the DSL power cord goes with me. When all the kids stay home, I usually let them use it.
The kids would tattle on each other in a heartbeat if one of them went to unapproved sites!! LOL
When I shut down at night the children have to wait till I get up to turn it on in the morning. I am a slug-a-bed so this help me get an automatic wake-up each mornbing!