As an alternative to taking a screen grab (which I've also used as an approach in the past under slightly different circumstances) you can also do this by creating a new window (WinForm) that is full screen and on top of all other windows.
If you set the window background colour to solid black then set the opacity to 70-80%, you'll get something that looks like the UAC prompt in Vista.
e.g.
formName.WindowState = FormWindowState.Maximized;
formName.FormBorderStyle = FormBorderStyle.None;
formName.Opacity = 0.70;
formName.TopMost = true;
Of course it would be sensible to draw a window on top of this informing the user why the screen has been dimmed, with a counter.
As with the screen grab approach, this on it's own does not prevent an user from by passing it by using the Windows key, Alt-Tab or Ctrl-Esc to bring up the Start menu, or to switch to other tasks. That's a bit more tricky, but there is a good write up for how to do that in C# here:
http://tamaspiros.co.uk/2007/12/20/c-disable-ctrl-alt-del-alt-tab-alt-f4-start-menu-and-so-on/