Door knob covers make it hard for little hands to get a grip, turn, and open doors. They should be placed on all of the doors leading out of your home and on bathroom doors. It is also a good idea to place them on closet doors and on the doors of any other room that your don't want your child to get into.
Keep in mind that 'lever' type door handles are much harder to childproof. Lever handle locks are available, but they can only be opened one-way, so are only really good for closets, etc.