All those methods will work, but you can easily get a more comprehensive solution. Here's what I did with my daughters' machines:
Download
ccproxy, and install it on your machine. Run it. It's best if your system is wired in to the router, but not necessary. Go into the router (usually at
http://192.168.0.1, or
http://192.168.1.1) and block your niece's machines from the net. The rule should block all ports from accessing the wan for the mac addresses of their systems. You can get the mac address by doing ipconfig /all from a cmd prompt on their desktops.
Now go into their Internet options (IE Tools | Internet Options | Connections | Lan Settings) and set them up to use a proxy server. The address of the server is your machine name or IP, and the port you configured ccproxy to run on (usually 808).
Now you have a basic proxy filtering system in place. You can now go into the ccproxy app and configure special rules. I created weeknight and weekend schedules, and assigned these schedules to an account for each of the girls' machines. I also configured website exclusions, and turned on logging. With logging enabled you'll see each tcp/ip request they execute. When they try to access the net out of the time limit, or access a site on the exclusion list, they will get a message informing them to contact the administrator. If they are savvy enough to change the proxy settings they won't get out at all.
Sad that we have to monitor kids this closely, but that's the way it is.