Short answer is no. You can go into Internet Explorer/Tools/Internet Options then click on the content tab and enable the content advisor, but it's not a particularly refined or effective filtering tool.
I've provided links to the four free ones that I know of Iprotectyou, Parental Filter, Naomi and Weblocker plus the Netveda combined filter firewall. I'm fairly sure that's your lot, but I stand ready to be corrected.
I used IProtectYou for a while to control web pages looked at by my nephew when he stayed with us for an extended period. Ran quite well with no problems on WinME Cel 400 256Mb RAM. Can be configured to block by rules and specific sites.
Haven't tried any of the others suggested by Belatucadrus