For Control Panel and other restrictions, see
www.dougknox.com, Win XP Utilties, Windows XP Security Console. As for specific programs, many installers offer an option, "For just myself" or "For all users". This doesn't necessarily prevent the limited user from running the program, they just won't get a shortcut installed for them. You can restrict access to particular programs by modifying the permissions on the program's folder in Program Files, or wherever it was installed.
To do this, you must be running NTFS as your file system on the drive in question. If your hard disk/partition is not NTFS you will need to convert it. To do this, open a Command Prompt window and enter the following command:
CONVERT X: /FS:NTFS
Where X: is the drive letter you wish to convert. You may also want to see
http://www.aumha.org/a/ntfscvt.htm to ensure that you're getting the optimal conversion.
After this step is completed and you've rebooted the computer, if necessary:
XP PRO: In Windows Explorer, go to Tools, Folder Options, View and uncheck Use Simple File Sharing. Now, when you right click on a drive, folder or file (on an NTFS partition) and select Properties, you'll see a Security tab. Here you can assign or deny permissions based on user name or user group membership.
XP Home: By default, you can only make files and folders under My Documents "private". This is done by right clicking a folder or file and selecting Properties, Sharing. To change the permissions on other folders, you need to boot the computer to Safe Mode and log in on the built in Administrator account. In this mode, you'll see the Security tab in Properties, and you can assign permissions based on user name or group membership.
HOW TO: Set, View, Change, or Remove File and Folder Permissions in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;308418
HOW TO: Set, View, Change, or Remove Special Permissions for Files and Folders
http://support.microsoft.com/default.aspx?scid=kb;EN-US;308419
HOW TO: Disable Simplified Sharing and Password-Protect a Shared Folder in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;EN-US;307874