Is there any possibilities to deny users from opening or saving certain
types of files form windows explorer, especially media files like .mp3 , .avi etc
You could encrypt the folders and files you not want others to access (with a program like TrueCrypt - free and opensource), but I don't know how to prevent an authorized user from saving files. Even creating user accounts with passwords in XP will let them save files. In firefox you can set preferences to save, and not open file downloads - allowing you to scan them for viruses and trojans, then open the clean ones.