When they're gone, take a desktop screenshot and then full screen the image.

Then they'll be clicking around not know WTF is going on.

I do this all the time...I even take it a step further..

Step 1: Take a screen shot
Step 2: Make a new folder on the desktop and call it whatever you want
Step 3: Turn off the default icons (My Documents, Network, Computer, Recycle Bin, etc) as Windows Won't allow you to move them into your new folder.
Step 4: Drag all the icons on the desktop into the new folder
Step 5: Right-click the new folder and select Properties, and then make the folder Hidden!  
Step 6: Set your screen shot as the desktop background image!
Step 7(Optional): Videotape your friend freaking out when nothing on his desktop is responding!!

Never leave a logged in computer unattended!!

LOL.

I've also heard that putting a piece of tape on the optical lens of someone's mouse is good too.