Windows 7 will be building this functionality in, but it is currently available for XP and Vista.
Microsoft has made available SteadyState. This program allows you to create a user, and control what they have access to. It also allows the user’s changes to be rolled back when they logoff.
Great for the kids, or guests that want to use your machine to check their email, but you don’t want them making any accidental changes to your system.