User control

My family likes playing games on my computer because it's pretty much the only one capable of playing anything good. As it is, I only let 'em play when I'm around to make sure they don't go exploring. Is there any way I can severely limit what they have access to so I don't have to babysit them? I want pretty much a blanket "you can't do jack shit except using these shortcuts to games I have installed," so they don't go off and find my pronz.

Help?
Thanks.

Windows is the only good OS because you can actually buy software and games for it unlike stupid Linux which you cant even buy in any shops I have been to