Terminal Services Folder Lockout?

I have a Terminal Server (Windows 2003) which has many customers connecting to it. We changed their shell program to our application, so they do not get a desktop or Start menu, which works great. The issue is that any time the user gets an Open/Save dialog box, they have the ability to browse any folder in the system. Granted, they can not do any major harm as non-admins, but I do not want them to see ANY other folder or drive which is not their own.

Any suggestions? Thanks in advance.