How can I disable all games in Windows XP Pro with Active Directory or Group Policy?

In Windows Server 2003 Group Policy, I think you will find that Software Restriction Policies are the way to go. Using SRP, you can either define a list of .EXE files that your students are allowed to run and only allow them to run those you've defined, or else explicitly deny access to only a few .EXE files: sol.exe, freecell.exe, etc. There's a good tutorial out on WindowsNetworking.com that will step you through setting up a basic SRP for an environment just such as yours.