Microsoft Knowledge Base Article 310401 contains the following summary:

This step-by-step article describes how to use the Internet Explorer 6.0 Content Advisor to control access to Web sites. You can configure Internet Explorer to control the kinds of content users can view in the browser.

You can control content in two manners. You can use content rating systems, or you can specify Web sites. Administration of content-rating systems is done by independent organizations. Internet Explorer defaults to the ratings from the Internet Content Ratings association.