Can't delete history

This is my first time here and I hope some one can help. I have been to a site which has put a link into my history which I can't delete. I have tried the usual methods (tools/options/clear history, delete files, settings etc.) and also right clicking on it and then delete but these didn't work. I then searched for all and each different part of the text in the link in winfile and "find" in the start menu but to no avail. One link pops up in the address bar when I enter "www" w/out the http stuff preceding it and I get two different ones that pop up when I search for "www" in the history menu.
Also, can I keep this from happening in the future? I wouldn't worry about it but let's just say that these two sites aren't exactly what I want my kids to see when there on the computer.

 

Start > Run , type in regedit & press Enter . Press F3 .

1 at a time enter all the names you want to delete & press F3 to start the search .

Save if you want or right click to delete . Press F3 again & again & again , until you have removed all & you get a message that you are at the end .

Start on the next name .