Disable the Ability to Right Click on the Desktop:

User Key: [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer]
System Key: [HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer]
Value Name: NoViewContextMenu
Data Type: REG_DWORD (DWORD Value)
Value Data: (0 = disabled, 1 = enabled)