March is a bit early for most of the attractions appealing to small children to be open but, depending on where you live, the greatest attraction for them might be just playing in the snow. Denver Mountain Parks are located in a variety of places just west of Denver in the mountains and have huge areas for play. If they like to ice skate or to watch ice skating, Evergreen Lake in the heart of downtown Evergreen, west of Denver, is very popular and is even lighted for night skating. while you're in Evergreen, be sure to have lunch in the Little Bear Saloon. It's a hoot. It's also an adult-style hoot at night. Check ahead on Rocky Mtn Nat'l Park. The main area should be open but much of the park closes when snow starts to drift and is not accessable until late spring in many years. The road to the top of Pike's Peak is open all year except in severe storms and the cog railway to the top will be fun for the kids. In Golden, just outside of Denver, there is a large railway museum the kids might like. Dad and Mom will probably enjoy a tour of the Coor's brewery, especially the sampling room. When my kids were that age, they also enjoyed the tour and the gift shop. Just outside Golden, on the crest of Lookout Mtn, be sure a visit Buffalo Bill's grave and museum. Just a little further west, Idaho Springs is fun to visit and, if it's open and you have good driving nerves, the "Oh My God!" road between Idaho Springs and Blackhawk is awe inspring. From Blackhawk, the drive down Clear Creek Canyon going back to Golden is very scenic.
This only scratches the surface of the things to do near Denver. Have a wonderful trip.