I just found a great interactive site in French for the preschool age range called Wumpasworld. It is Canadian and centers on the deep-voiced (though not French Canadian-accented) Walrus named Wumpa and his arctic friends. These include a polar bear, two bunnies, and sleds named Zik and Zak (this was a big draw for Zach).
It has lots of fun and goal-oriented games which are explained by the characters in clear and simple French. There is also ample audio feedback as you complete the tasks. For example, we played one game (click on the blue sled, then the birthday cake) in which --while the polar bear (Jigiuk?) is pulling his sleigh -- ingredients for a birthday cake he wants to bake for Wumpa fall off. He then asks you and Zak (the sled) to go back and search for them. If you miss one he says, "il me manque quelque chose" (something is missing).
To be fair, I have only recently begun making a real effort to explore interactive games in French. This is out of necessity as Zach has grown bored with some of our old favorites like Toupie and Binou and Boowa/Kwala, Caillou. I find myself relying too heavily on videos ((i.e. Transformers, Cars2, Spiderman...)which I only consider to be worthwhile for language exposure and for no other educational benefit.
I was happy to find Wumpasworld because I have not come across many French games sites that are based on characters and their "worlds". I find these much more engaging than the simple memory or matching games which seem to abound but don't inspire either of us very much. And until I can resign myself to spending $800 for an iPad - which I've learned from Bringing up Baby Bilingual's posts has some excellent options and seems an inevitable, if not affordable, purchase -- I'll have to rely on the old fashioned computer point-and-click method for interactive French learning.
I found Wumpasworld on millemerveilles, which I stumbled across by googling something I can't remember anymore ("francais jeux maths"?). It was on a list of other links, some of which also at first glance seem very good but I need to try them. If anyone has had experiences with any of these sites (or others!), please share!