Windows SteadyState is a free program that Microsoft launched a year ago to provide a simple way to protect shared XP and Vista computers in schools, libraries, Internet cafes, etc. Of course, you could also use it to protect your PC from small children and visitors, or whatever. It lets you restrict access to many Windows features, and protect the hard drive. You can, for example, have the PC (a) remove all changes when it's restarted; (b) retain changes temporarily until a specified date; or (c) retain all changes permanently.
It's great for its intended purpose, because a school or cybercafe can restore all its PCs to its standard configuration every day just by rebooting them. It's potentially dangerous for home users because they can inadvertently lose documents they've created, photos they've uploaded, and files they have downloaded.
However, the Lifehacker blog has essentially put the ball in play with Kid-Proof Your PC with SteadyState, which will make the program much more widely known. If you've used it, what do you think of it? If not, are you tempted to try it?
There are, of course, other ways to "sandbox" a particular program, such as Sandboxie. Also, the program you are most likely to want to sandbox is Internet Explorer, and IE7 running in Windows Vista already has sandboxing features built in.