Nobody bothers as its complex and a pain in the arse as applications just assumed admin rights.
I have!
There's a really neat guide to
Computer Security (meaning mainly XP) which I've worked through. I gave the hardened box (dual-booting with vanilla Ubuntu) to my kid last Xmas. In the end, MSN messenger won him over to Windows
Yes it was complex, and strangely horrifying. The most important thing (which I'm sure all XP users reading this already do) is to usually login as an ordinary user, use a password, and only login with Admin rights when you need to change the system in some way. So it is horribly cumbersome when it comes to installing software. But, yes, it can be made pretty damned secure.
But yeah, some programs -- it's mainly console type games that I've come across -- demand to run under Admin. That's so irresponsible it must raise questions about the competance or honesty of the software house. Still, I guess as long as they're not networked programs and you disconnect from the 'net before you play and you don't listen to a Sony CD, you're OK. Oh, fuck it, it is rubbish, isn't it? It's just so much easier to be secure with Ubuntu.
Sony would be shut out by the measures described on basicsec.org. I don't know if all that would have protected against the Acer exploit. From what I've read so far, none of it will prevent you being completely pwned by MS, if you run Vista.