Are you using XP Pro or Home?
If you're using Pro, go into the Control Panel and open Folder Options. In the View tab, scroll to the bottom of the list and disable Simple File Sharing. Then, open up My Computer and right-click on the drives you wish to lock them out of. Under the Security tab, add the user you wish to lock out, and under the attributes, Put a check next to Deny. If it asks you if you wish to apply these attributes to all subfolders and files, click yes. It might take a little while to change the settings on all the files.