You can configure User and Computer settings in Windows 2003 with Group Policy and Group Preferences, just as in Windows 2008. This may solve some of your configuration issues. Going into all of the details of Group Policy and Preferences is beyond the scope of a simple answer, but Google will be your friend here. Also, each version of the Windows client increases the capability of Group Policy, so you will need to be diligent in verifying that you can accomplish what you want in Windows XP.
Group Policy alone won't necessarily solve your problems, at least not without extensive scripting. If you're having problems with programs being installed as a non-admin, you'll likely need to augment Group Policy with other tools. If the problem is people installing programs as local admins, then removing local admins permissions should be your priority before any of this work.
As for games, are you talking about online, or installed? Again, Group Policy won't necessarily solve, say, Flash games. There are other network tools to prevent that.
Depending on how much of a problem this is, you may need to step up to system management tools, such as Kace or Microsoft System Center. Again, beyond the scope of a simple answer, but this should get you started.