When we want to lock down an embedded image that uses a XP based OS, we often want to use Group Policy settings. But how to search and know which policy options are good to be used specifically for locking down the OS? Well, the first answer is - search the XPe newsgroup archive. We have discussed variety of group policy related issues there.
Just recently I unintentionally came across this very helpful KB article: http://support.microsoft.com/kb/278295. It basically lists most of the Group Policy settings that are good to be used to lock down a Terminal Server session on a Microsoft Windows Server 2003-based or Microsoft Windows 2000-based computer.
Here you will find another beautiful page (Group Policy Settings Reference) where you can download Excel document with most of the Group Policy listed with, more important, corresponding registry entries mentioned. Very helpful.