I was under the impression that through User Accounts or Admin there was a way to set up a password so that if someone wants to download a program or game etc they need that password to do so, or admin rights?

Does that help?

Non-admin accounts can be easily configured to not allow installing of software unless the user gives an admin password.

If they can't install it, it doesn't do them much good. Standard user accounts for anyone else who uses your computer is always a good idea.

You can disable downloads in IE, but it takes a deft hand with either the registry or the local policy editor.