You can modify where My Documents points. If it's just a handful of users; you just right click the My Docs folder and select "properties" - you then just point to a remote PC (with a folder already shared).
If it is more; you could try "Roaming Profiles". This stores the users' Desktop, Favourites, My Docs, etc in a central location. It's mainly used for desk-hoppers as it presents an identical copy of your desktop wherever you sit; but it's also useful from a backup perspective as everything is held on one server...
Have a look at the following if you run on an unmanaged network:
Or the following if you use Active directory:-
Alternatively do a Google for "Roaming Profiles"...
For internet filtering; I don't really know of anything; but try having a look at:-
Best of luck