I'm writing an (open source) application called "U3Hostage", in C#. (Don't start. I would prefer to do it in C, but when it comes to GUIs, I tend to make a mess).
The idea is that when someone steals your U3 drive it overlays the desktop with an impossible-to-close login screen stating that the thief's computer is being held hostage until such time that he or she calls a predefined phone number and receives the password from the owner. This part I have completed.
What I am working on is having it install itself to automatically start every time the computer does (and overlay the windows login screen). Also, I am working on making it send an email to a predefined (hard-coded?) email address stating such data as it can find on the thief's computer involving his or her identity.
If anyone wants to help, let me know, and I'll upload it to SourceForge.