This registry hack works with both Windows XP (SP2 and greater), as well as Vista.
[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\StorageDevicePolicies]
"WriteProtect"=dword:00000001
This does exactly what it looks like. It marks the device as read-only, and forbids the user from putting files on the device.
To make the hack effective, reboot after making the change. Then ensure that no users have administrative rights on the machine, otherwise they could simply undo the hack.