Why don't you try and write a firewall rule rather developing an application for that .Developing firewall is not an easy task and especially with framework like .net it has a lot of security loops.My best suggestion would be to create a rule on the firewall to block the user action.If you are hell-bent on creating a .NET application
Create a windows service to listen to all OS events
and capture and block the events that allows the Download dialog and Open File dialog to occur,but you have to make sure that those events are triggered by a browser,or else you'll be blocking all calls to those events.
These URLS could help
http://msdn.microsoft.com/en-us/library/ms644990.aspx
http://msdn.microsoft.com/en-us/library/microsoft.win32.systemevents.aspx
http://social.msdn.microsoft.com/Forums/en/csharplanguage/thread/0417de9f-50b9-4d2b-a3df-6531d0af5a82
This would be great if you could tweak in a little to read from the service into a web page
http://msdn.microsoft.com/en-us/library/ms178713.aspx[
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