In a number of environments, especially MPAA or DoD environments (in the US we rank nuclear bombs right up there with pilfered copies of unreleased movies, especially ones that cost a lot of $ to make), users should not be able to mount any local removable storage. While Group Policy is typically the best way to keep users from mounting said storage, you can also do so without assigning GPOs. Simply make the permissions on the following files set to Deny (assuming your c:Windows directory = %SystemRoot%):
C:WindowsInfUsbstor.pnf
C:WindowsInfUsbstor.inf
You may also need to add the System account to the Deny list for those files, but in my experience you don’t always need to do so.