At my school they try to block everything, but there's always ways to get around it.
Like setting a desktop background, just download Irfranview, and install into your own file, then use the background setting tool from there, even if right-click, etc. is disabled.
And I created my own 'file stealer' in VB which can transfer any file from any protected dir (C:,F:,G: on ours) including programs, into my own directory, so i can burn it to CD.