Block Control+Alt+Delete
I found a very ugly way of doing this (which works well). If I open taskmgr.exe exclusively, then nothing happens when the user presses Ctrl+Alt+Del.
FileStream fs = new FileStream(System.IO.Path.Combine(Environment.SystemDirectory, "taskmgr.exe"), FileMode.Open, FileAccess.ReadWrite, FileShare.None);
What I like the most about this solution that it has no permanent effects. For example if the application gets killed, then Ctrl+Alt+Del will just work again.
Drawback: One must have the Welcome screen enabled or Windows Security will popup instead of Windows trying to open taskmgr and silently failing. (→ It also won't work if the machine is in a domain, because being in a domain disables the Welcome screen.)
(Of course this won't work on Vista or W7.)
For Windows XP, the correct way to do this is to create your own Graphical Identification and Authentication Dynamic Link Library, or gina.dll for short. Here's an MSDN article about it. This DLL exports a set of functions that interact with the Winlogon process and provides the user interface to logon requests - the Secure Action Sequence event. The main logon request is the ctrl-alt-delete response. The standard gina.dll invokes the logon screen or the task manager/logoff dialog. It's not too difficult to create your own gina but it does require C/C++ coding and not C# and it is quite easy to make the system fail to boot. This does not stop people from pressing F8 at boot up and selecting the Safe Boot option, which won't load the custom gina.dll.
EDIT: I should also say that you don't need to implement all the functions the gina is required to implement, you can dynamically load the previous gina.dll and pass all the calls you're not interested in to the old gina.dll.
EDIT 2: This does not work with Vista/Win7 as they changed the architecture of the logon process. It is still possible to disable ctrl-alt-delete in Vista/Win7 but it requires a different mechanism - there are MSDN articles about it somewhere.
EDIT 3: Here's a ZIP file containing the source code to make a gina.dll It was built using DevStudio 2005. The file GinaInterface.cpp details the steps needed to install the new gina.dll library. This will disable the "Welcome" screen and replace it with the 'press crtl-alt-del' to login dialog. As it stands, there is no difference between this and a standard gina.dll, all the gina related calls are passed through to the original gina.dll file (called msgina.dll in the Windows\System32 folder). To disable the ctrl-alt-del key press, update the function WlxLoggedOnSAS in GinaInterface.cpp. To stop ctrl-alt-del whilst your application is running, you could create a named mutex (CreateMutex) and test for its presence in the gina.dll, stopping ctrl-alt-del if the mutex exists.