mot256:Closing the share for certain hours would not prevent them from coping the movies to the local PC and watching it there... in work hours. Maybe you should just give them written warnings...

100% correct, and they have already received verbal warnings for it. Our HR department has told us though that we are obliged to make it as difficult as possible for them to do so lest they claim they "accidentally" tripped and clicked on the movie. If we don't do that, then we cannot give them a written warning.
We had the same problem with telephone abuse. Our telephones are wired into AD, but even if we track someones usage we cannot prove that it was actually them that was dialling the numbers and using the phone (even if we physically see it - CCMA, go figure). Only once we implemented PINs and made them sign documents saying that they were resposible for the usage of their PINs could we start making people accountable for their phone usage.
Ideally though, these people would grow up, realise they're wasting everyone's time and money and actually start doing work without needing babysitters... I can guarantee that none of the people involved read SADev... it's a different mindset
Why go against tradition when we can admit defeat, live in decline, be the victim of our own design?
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