You can make him the administrator, and change the permission in the program that you don't want him to use, such that he won't be able to modify that without your user account.
Find the program file (or shortcut), right click on it, and select Properties.
Now, in the Security Tab, you'll find "to change permissions, click Edit". Click on Edit.
Remove the user-name of your nephew, or, in the "Permissions for <Nephew>"
click on Deny for the services you think he shouldn't use.
Best would be to remove him from the list, because that should be enough to stop him from being able to use that software.
Abhas added 14 Minutes and 16 Seconds later...
Edit:
Oh crap, just re-read your question, and it seems I didn't understand it properly the first time.
I'm assuming you're using Windows 7.
Try this (Not sure it'll work, but worth a go):
Click on the start menu, and click Run. (Or, windows key+R)
now type: control userpasswords2 and press enter
An advanced user accounts module will come up.
Tick the "users must enter a username and password to use this computer" if it's not already ticked.
Now click on "Add" to add a new user. > Enter Username and other details and press next. > Enter password if you want, and press next, otherwise, just press next.
In the following screen, Click on the radio button that says "Other" and in the list, select "Power Users"
Click Finish.
It should create a new user account with a type "Power User".
Try the parental control software if it allows that account. Also, try to install some software/game and see if it asks for the admin password.
If it works, good, else, you need to go back to control userpasswords2 screen, and select the user and click properties.
Now in the group membership tab, select a different type of user (Try HomeUser)
If that still doesn't work let me know.. we can try something else as well.