I saw this a while ago (Slashdot maybe?), and there were several suggestions...
First, just don't allow music players of any sort. This could annoy employees, unfortunately. But if the need for security is so great, then this is the best way.
Second, just disable the ability to connect these devices. This could be done through, probably, either computer settings (on a Unix variant this would be relatively easy, although I don't know about Windows), or just physical security. If an employee cannot reach/access the USB or firewire ports, they can't connect anything to them. This might be harder to do, depending on whether the user needs to be able to access, say, the CD-ROM drive or anything else on the computer, or not.
While it's certainly a concern, there are some ways to deal with it.
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