If you want to remove them and only run a single app you can use the option to run a custom shell instead of Explorer:
<a target="_blank" href=http://www.winguides.com/registry/display.php/849/>http://www.winguides.com/registry/display.php/849/</a>
I have used this in schools to run an educational software when the students log in with no desktop or taskbar to allow them to do other things. When they close the window their only option is to do a Ctrl + Alt + Del. I have locked down the resulting popup using tweaks found on Winguides to where the only buttons not grayed out are are "Log Off" and "Cancel" .
When I have more than one app they should be able to run I run the Yahoo Widget Engine (formerly known as Konfabulator) as the custom shell. I set up a widget that lists shows icons for only the apps I want to run and a logoff shortcut. I then modified the widget engine executable so that there was no 'close' or 'exit' option or ability to add or remove widgets and disabled the logoff button on the C-A-D popup. The result is they log in and get no desktop or taskbar and no way to log off - just three floating icons in the middle of the screen that they can't interact with other than to left-click (launching an app or logging off) and nothing more.
Josh
Yet another site soon to be neglected:<font color=green>
<a target="_blank" href=http://www.zachmax.com>www.zachmax.com</a></font color=green>