You can create bookmark shortcuts on your desktop (or on the right-hand side of the dock) by visiting the site of your choice in Safari, then dragging the favorite icon (the icon to the left of the URL) to your desktop (or the right-hand side of the dock).
If you're using Leopard, simply create a new account of type "Managed with Parental Controls" for your children, then under "Open Parental Controls...", deselect "Can modify the Dock".
It sounds as if you and your children "share" your user account in Mac OS X. This is not ideal, nor optimal. Mac OS X is a true, multi-user operating system, and to reap the most benefit of this, it is advised to use separate user accounts for each, separate user that will be using the computer. You could even enable the "Guest" account which you could let your children use when they want to compute -- the "Guest" account will allow them to login as "Guest," and any changes they make to the Guest account will be reset to the default settings when they log out, and will also delete any files or folders they create under the "Guest" account upon logout.