Disclaimer: I have ZERO financial or personal interest in this software. I just love it for this purpose.
I swear by a product called Fortres 101. Read some of the other testimonials here: http://www.fortresgrand.com/testimonials.htm
Read what these high school students say about getting around it: http://fileforum.betanews.com/review.php/977586459/1/view?sortby=rating
While you cannot stop them from hitting CTRL+ALT+DEL, if you turn off logging off, shutting down, and restarting, the only option available that is not grayed out is the Task Manager, but it doesn't work...it just brings them back to the desktop. In other words, with your application running, they can get to one thing, but there is no where to go from there...the only option brings them back to your program.
Try downloading it as a 30-day full demo. It is very easy to set up. Just install it, and then go to the "Log-off and Shutdown Options" and decide if you want to disable: Log off, Shutdown Computer, and Restart Computer (I don't know why these are not included in the base install lock down). From there, any non-administrative user is locked down tight (also consider disabling floppies and USB's under "File & Registry Settings"). You can also lock down administrators by "Apply Security Restrictions to Administrators" in the "Basic Settings". Click File>Save on the way out to save your settings.
It is relatively cheap too.