I second the recommendation of No Stress Chess -- when my son was 4yo he also used it to learn the rules.

ChessMaster is reasonably-priced chess-playing and teaching software. ICC Dasher http://www.chessclub.com/helpcenter/interface/Dasher.html is software used to connect to the subscription-based Internet Chess Club, but it comes with a free chess engine that plays at various levels and can be used without an internet connection.

"To see what is in front of one's nose needs a constant struggle." - George Orwell