First of all, do you have a published desktop usage policy. If you do, and he's in violation of it, go ahead and take action.
Second, sack up man! Call a meeting with your boss and his boss, and lay out the facts. He's doing something suspicious and is in clear violation of corporate policy. Confiscate his machine and take it back at your leasure. As long as you notify management beforehand, and your actions are in the best interest of protecting the company, you are pretty clear to act.
We have a corporate policy that clearly states that these kinds of actions are a violation of corporate PC desktop security policy and any violation is punishable up to and including termination. You don't have to be a butt about it, but you do have to take action. I have seen things like this that have put companies at legal risk and resulted in huge financial impact.
I was once called in to hack into an employees PC. He had locked it up and passworded it and no one could get in. He was the only one that had access to a number of systems (this is back in the days of MSDOS and IBM PC-ATs). His managers asked him to cross train others as backup, but he always claimed he was too busy. When I got in, I found some BAT files called things like "f**ky*u.BAT" and other obscenities. Each one either deleted a production database or formatted a critical hard disk. There was no reason for these to be there. When asked, he said these were for maintenance and testing purposes. He was escorted out immediately.
I'm not saying that your guy is like this, but if he's locking out normal OA admin functions, then ANYTHING is possible.