Parental controls on your router is on a per device basis. It blocks access to particular sites by a specific computer.
If you want differing options for each child on the same computer, you would need to install parental control software on your computer, and have each child login as an individual. I recall a program called Net Nanny for managing such access. You may also deem it important to teach your children about the dangers of inappropriate surfing, and help them understand WHY this is an issue. That way they are protected by intelligence when they are at a location without restrictions.