I did this to a co-worker, and it was hilarious to see him clicking on his icons, freaking out that his screen was frozen.

1 - Take a screen shot of their desktop (make sure the mouse is hidden in a corner)
2 - Save the shot as an image file
3 - Set the image as the desktop image
4 - Hide all the icons, and also the "Start" menu on the desktop

This effectively creates a desktop that, although it shows all their files and program icons, they won't be able to access any of them... because the icons are just a part of the image you got from the screen shot...

Takes a little finger-work, but it's very effective.