As an alternative to taking screen capture (which I also used as an approach in the past under slightly different circumstances), you can also do this by creating a new window (WinForm) that is full-screen and on top of all other windows.
If you set the background color of the background to black, set the opacity to 70-80%, you get what looks like a UAC prompt in Vista.
eg.
formName.WindowState = FormWindowState.Maximized;
formName.FormBorderStyle = FormBorderStyle.None;
formName.Opacity = 0.70;
formName.TopMost = true;
Of course, it would be wise to draw a window on top of this, informing the user about why the screen was darkened using a counter.
As with the shielding approach, this on its own does not prevent the user by passing it using the Windows key Alt- Tabor Ctrl- Escto open the Start menu, or to switch to other tasks. This is a little trickier.