Use the following properties:
Window size: sized to the screen.
Window apperance: custom.
- uncheck window has title bar
- uncheck: show menu bar
- uncheck: Show toolbar
- uncheck: allow resize
- uncheck allow close
- uncheck allow minimize
I would still leave a safety exit (e.g. alt+TAB and ctr+alt+del will still work) even if you filter all key presses with an event structure.
What OS are you using? On WinXP you would create a special user account with very limited privileges where everything is locked down with policies and the only program allowed to run is your application.