@Jens - You made my day :)
@Anuchit -
There are ways to prevent that but as mentioned by Jens it can start getting crazy, the person could take a photo of the screen with his camera phone.....
If your data is that sensitive there are products for locking the PC ports, you can take away email, make the users operate on terminal machines to prevent local anything, but if they really want the data they can get it, almost everyone carries a camera phone
Cheers
Nev