This is possible with Windows XP Professional (but not with the Home edition.) You would accomplish this with the Microsoft Management Console (MMC) which you can open by typing mmc in the Run dialog box. You would then need to open the Group Policy Editor snap-in. This site has a few pictures of how to disable the shutdown command by using this method. It would also be used for hiding the task bar.
You can block access to directory listings with this tool as well, but remember that the user will still be able to access files which list him as "read" in their file permissions. To restrict access to these files, place him or her into a user group that does not have these permissions.
The Local Group Policy Editor Snap-In for the Microsoft Management Console, in general, can be used to make all sorts of Windows customizations, especially where an administrator needs to restrict access to certain parts of the Explorer interface.