Teach them basic security. Be aware, and make them aware, that people can conceal anything and everything about themselves. For further advice visit the NCH - Action for Children site and the US VTW site, and Families Against Internet Censorship . To put the threat posed to children by the net into some sort of perspective. The biggest threat by far to children comes from their own parents, or close relatives.
Child abuse is a very real threat and all too widespread.
In truth it is no more possible to protect a child from such things on the net than it is in the school playground. The best protection a child has are good parents, and being over-protective can be just as harmful.