Do you have AVG installed? If so AVG has introduced Link Scanner recently which sometimes causes Net Nanny to not be able to display a Block Message.

To address this issue, you can reinstall AVG over the top of the current installation by going to www.free.avg.com and getting the download there

During the reinstall, AVG will list the components, uncheck Link Scanner and continue with installation. After the install of AVG is done, you will need to restart your computer. Once this is done Net Nanny will work as designed.