You could also be really cruel and use a policy to only allow them to run specified applications. It takes a bit of tweaking, but you can really tighten up your system this way.
You could include the hide drives feature of the ZAK. That way, a user could map a drive, but wouldn't see it in Network Neighborhood, or My Computer.
As dsi says, you can lock the desktop down as well. Depends how free your company policies are in allowing internal users to break your servers ;-)
Hope this Helps