There is no such setting which can disable 'application settings' menu.
But to lock down user activity i.e. ability to connect to non-corporate wireless network, you can achieve this by:
1)Open PROSet Administrator tool.Go to Application Settings.
2)Open Profile Connectivity option. Enable 'Disable user profile swicthing.....' option. Choose one of the two options.
3)Add your administrator profiles in the Profiles tab of Administrator tool.
4)Apply the package to the client box.
Now, the user would not be able to connect to any Wi-Fi network other then defined in Administrator tool.
This setting works only for Win XP PROSet.