Limited account access

[t66ui]

To All,

I've set up an account(named Family) for family members
with limited account access. One main purposes of
setting up this account is to eliminate family members
from downloading files. I now have two probelms:

1. I have to first login to administrator account before
Family can have access to the internet (otherwise, it
says "can't find server").

2. When I tried to download files using the Family
account it allowed me.

Is there anyway I can set it up so that family members
can login without having Administrator login first to
access internet? And, how do I prevent anyone other than
myself/administrator from downloading files?

P-4M, 2.2ghz
WinXP home
Wireless internet (cable), router has build-in firewall
TrendMicro PcCillin 2003 Anti-viurs
Administrator account is password protected and not
sharing files

Thank you in advance for your help.