There isn't a feature in NN5 to filter the content in Kazaa. Net Nanny can block Kazaa entirely. You can do this from Net Nanny Settings => User Settings. Select the user you want to block. Go to the Applications tab. Select the option to "Block File Trading Applications on the Net Nanny List".

If you do not want to block Kazaa entirely, you can use the internal Kazaa filter:
Tools-> Options... -> Filter ->

You can password protect it, and working with Net Nanny, this should provide adequate protection.