There aren't any parental controls in LW, but you can filter out offensive files with the keyword filter. You can find it by going to Tools>Options>Filters>Keywords, and add words from there. Also on the LW search page click on "Whats New" on the lower left of the page, and tick the box "Hide Adult Content".
More instructions in this thread:
Direct instructions to eliminate porn from results
There's no way to completely block adult content from LW. Some people mislabel porn files with innocent names, and you won't know what it is until you play it.