The Windows Key + R allows you to run many system utilities, including regedit, msinfo32, services, MSConfig, and much more. You can disable the run command, so other users can't use it.
This can be accomplished in Group Policy Editor or the Registry Editor. Windows 10 Home users will need to enable Group Policy Editor.
Once completed, anyone who tries to use the Win + R will be told, "This operation has been canceled due to restrictions in effect on this computer."
Disable the Run Command in Windows With Registry Editor
Because all Windows users can use the Registry Editor, we will start there.