You will want to take a look at the Software Restrictions Policies on your system. You can find out more from Microsoft KB310791: Description of the Software Restriction Policies in Windows XP.
WindowsNetworking.com has an article, Using Software Restriction Policies To Keep Games Off Of Your Network, that provides some concrete examples of how to use the restrictions.
If the users are launching the software from USB drives, you can prevent users from connecting to the USB devices by following Microsoft KB823732: How can I prevent users from connecting to a USB storage device?