While searching a way to Hide/UnHide my desktop icons in Group Policies. I noticed the Windows Components and tried to explore until I saw this functionality sitting there, waiting to be discovered ... and It's a way to disable/enable Windows+X key!!
Microsoft Windows Explained: Turn off Windows+X hotkeys.
Keyboards with a Windows key provide users with shortcuts to common shell features. For example, pressing the keyboard sequence Windows+R opens the Run dialog box; pressing Windows+E starts Windows Explorer. By using this setting, you can disable these Windows+X shortcut keys.
If you enable this setting, the Windows+X shortcut keys are unavailable.
If you disable or do not configure this setting, the Windows+X shortcut keys are available.
I know its so frustrating for gamers when they accidentally pressed the Window Key 
specially when they're playing on full screen mode. And some Computer Cafe's last resort is to pop out that key on the keyboard. But hey, there's a solution for this, Windows (at least 2000) provides a way to disable the Window Key.
Here's how to do it:
1. Open Group Policy: C:\WINDOWS\system32\gpedit.msc
(here's a screen shot) 
2. Expand Adminstrative Templates Folder
3. Expand Windows Components Folder
4. Click Windows Explorer Folder
5. On the right panel, search for Turn off Windows+X hotkeys and double click on it
(here's a screen shot) 
(after you doubled click on it) 
6. Click Enabled and click OK Button
7. Log Off your computer session or Restart if needed.
and that's pretty much it.
