With this key enabled, in addition, you cannot right click on the desktop to get a context menu. This is a lockdown option.
Windows 2000 does not have the Software\Microsoft\Windows\CurrentVersion\Policies\Explorer key by default. Create the key with the NoDesktop value set to 1. When you create the Explorer key under Policies, you will be prompted for a class. Leave it blank.
As always, back up your registry to a disk before editing it. If your cat runs over the keyboard and deletes then saves, you're f'd.