Nawras PC Supervisor Configures Local Security Controls
PC Supervisor gives you control over just about everything you might want to restrict. Control panel access can either be blocked completely or limited to only those options you want displayed. Hide drive letters and features like "run as," network connections, and the places bar.
Use it to disable everything from registry editing and task manager to display settings changes. Set up privacy tweaks like auto-clearing the recent files list and hiding the last logged on username.
Granted, most of these changes can be made using gpedit.msc and secpol.msc (built-in controls in Windows XP Pro), but PC supervisor's interface is easier to get around and it can make changes on XP Home installs as well.
PC Supervisor doesn't require installation, and is completely free. Right now there's no help file, but it's still a nice addition to your admin toolbox.