You should be able to do this (note that editng your registry incorrectly can really mess your machine up - if in doubt, before changing anything run the system restore utility & set a restore point!!):
On the start menu click 'run' then type 'regedit'.
Click on the plus sign to the left of HKEY_LOCAL_MACHINE.
Click on the plus sign to the left of Software.
Click on the plus sign to the left of Microsoft.
Click on the plus sign to the left of Windows.
Click on the plus sign to the left of Current Version.
Click on the plus sign to the left of Policies.
Now click on the Ratings folder.
In the right pane of the RegEdit window, you'll see an icon called Key. Click on it and press Delete.
Next, exit RegEdit. You've just deleted your original Content Advisor password.
Restart the computer and run Internet Explorer again.
Choose View and then Internet Options (or Options for version 3.x)
Click on the Content tab and click on Disable. When asked for a password, don't enter anything; just click on OK. This will disable Content Advisor because there's no longer a password
As to net nanny I've not used any myself, sorry
