To start with, you should change their account from an administrators account to a limited one click here Then password protect your account and the admin account that you can get to when you boot into safe mode, that will stop them changing the permissions back to administrator.
You can stop file downloads by going to the Control Panel and clicking on Internet Options, click on the security tab and then on Custom Levels. Change File download from Enable to Disable. Of course... that won't stop them changing the settings back if they can figure out what you have done.
One of the really good things about Windows Vista is the Parental controls. click here Perhaps you could think about swapping over to Vista in the near future.
Of course the best course of action would be to take the power lead out of the back of the PC and hide it somewhere safe... if they think it's so funny to download stuff when you have specifically told them not to then they don't deserve PC privileges.
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