How do you keep lock PDF clients out of all but the desktop

I am setting up a server (Windows Server 2003) for clients in our Burbank office to logon to and access an application on the desktop.  Is there anyway I can keep them on that desktop and lock them out of using any of the other resources.  For example, I am concerned about these clients using the Start/Run/CMD  or browsing the network using My Computer.
All the clients will logon to the server using RDP and have Windows XP Pro sp3 for OS.  The server is Windows Server 2003.  The authentication is handled by the Domain Controllers.  We are all on the same domain.
jvanderwAsked:
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Britt ThompsonSr. Systems EngineerCommented:
Here's the Microsoft documentation on how to do this:

http://support.microsoft.com/kb/278295
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