You have to do this through the user setup in the Control Panel. You can have multiple users on the box (as I'm sure you know) and each of them can have different access rights to the system (ie - some can be admins, while others are just "Standard Users").
If you have a user on your box that you don't want to give the right for them to install software, etc, then you need to lower their user-account access rights.
However, in 98SE you don't have NEARLY as much control over the users as you do in later systems (NT, 2000, and especially XP).
If you have a setup where you absolutely must keep control, then I would suggest upgrading to 2000 (you can't buy NT anymore or get it supported by MS anymore, so 2000 is the least you can get.)