We've done this to one of the executives at work before.....
1) Take screenshot of desktop (print screen button + paint) and save it
2) Move all (movable) icons on desktop to a temp folder
3) Tweak windows so that it doesn't display any special icons (ie. Internu Exploder, My Docs, etc.)
4) Set the background as the screeshot you took.
5) Laugh as the (l)user tries to click on his/her "icons".
I had heard a similar version of this, but much less work to execute.
1) Take screenshot of desktop (print screen button + paint) and save it.
2) Set the background as the screeshot you took.
3) Hide the windows taskbar by dragging it down to the bottom of the screen.
Voila. The "start" menu doesn't work (unless you activate it from the keyboard). The clock is frozen at one point in time. None of the quicklaunch icons or system tray icons work. None of the programs show up in the taskbar.
Course, you could mess with the icons also, and really frustrate the poor windoid.