Placing Security on Download Programs

I've recently purchased a new computer with Windows XP. I
was thrilled to hear that you can place security to users
on the computer. I have an older child who downloads
programs even though he has been asked not to many times.
I have searched Miscrsoft's website and have called Dell
as on-line support recommended. Unfortunately, Dell
Support was not able to help me. I have also looked in
the "Learn XP" program that came with my computer. I am
not able to find anything for placing security or
limitatins to the ability to download programs from the
internet. I would like for my system to prompt for a
password whenever a download has been requested. Can you
help with setting this up.

Thanks,