Desktop Lockdown?

I'm using a locked down desktop at a client site at the moment. They have done a good job. I can't change any of the properties of the system, I can only see limited views in Windows Explorer. I can't even run cmd.exe. But they have forgotten one dangerous thing: command.com. It's the 16bit version of cmd.exe and lives in the system32 folder. This shell isn't tied down by group policy because it just doesn't understand these restrictions. From this shell, I can run telnet, tftp and all sorts of other useful tools. History - it's always there in the background.