I assume you mean downloading via the http, correct?
You can install the squid web proxy on a machine and deny all other machines http requests from leaving the internal network on your firewall. Using squids acls you can deny any url that contains the file types you don't want users to download. Here is a quick example:
you need a line like this in your acls section of your conf add:
acl blocked_filetypes urlpath_regex -i exe
then later something like:
http_access deny blocked_filetypes
That would block any request for any url that contained a case insensitive exe
This is pretty draconian, though and can lead to problems with web surfing speeds and timeouts you need a pretty good machine to handle a lot of requests on the fly.
If there is a policy in place regarding file downloads a lot of times the threat of that will keep users from blatant mischief although thats not a very good security measure
ed