As this is still one of the top google returns on this question I thought I'd post the information I found most helpful on this issue.
Using the information from the TechNet article below I had success.
Chapter 6: Software Restriction Policy for Windows XP Clients
A mistake I was doing was typing in the file path and specifying the type of files.
So, f:\*.exe simply blocked exe files from running in the root of the F drive.
What I needed to do was to block exe files from running on the F drive completely, no mater what level of folder they were in.
So, f:\ would achieve this, but it wasn't blocking anything.
For that, I actually had to read the instruction properly, and take note of the sections titled "DLL checking" "Skip administrators" and "Defining executables". These sections are within "The File path rule"
After doing that it worked.
I'm also going to look at a couple of other possibilities that may assist people, but more when I know I've achieved what I want.