One of the simplest one I used long long ago was to alias a bunch of common commands like this:

alias ls='echo "This program requires Microsoft Windows..."'
alias cd='echo "This program requires Microsoft Windows..."'
alias vi='echo "This program requires Microsoft Windows..."'
# Any other programs you can think of

alias unalias='echo "This program requires Microsoft Windows..."'
alias alias='echo "This program requires Microsoft Windows..."'
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Make sure alias is the last one :)

Of course it is trivial to get around by using a full path to the program you want to run, but it usually gets a laugh and the odd time it stumps someone for a while...

You could easily wrap in in a loop read through /bin and /usr/bin and alias every command if you wanted :).