The best method is to make sure that's part of your company's/school's/whatever's Internet policies. Make it clear that you don't want people installing non-approved software and programs, and make it clear the ramifications (if any). Then enforce it.
If you want a software solution, there's really not much you can do as far as I know. You can lock them out of directories via certain permissions, giving you less places to look, but that will still keep them downloading and installing.
There's a program called Fortres101 that may be a small help. We use it at the school on our Win98 clients. www.fortres.com
You can dictate certain file names/executables that can't be run. So, students that have not signed our Internet agreement can'teven run IE or Netscape because the iexplore.exe and netscape.exe files are locked out. I also block stuff they frequently download and install, such as Yahoo! chat. Because the name of the installer does not change much, by putting in that file name, they can download but not install it. I just delete the file periodically.
Good luck.