If they have physical control of the Mac, there's not much you can do to prevent that.
You could disable the USB IO kexts (you'll have to google for that as I don't know which ones and how).
Do they require access to the data you don't want them to download? Even if you disable the ports, if they can access the data, they can just upload it to an ftp server somewhere else.
You can prevent them accessing the data by storing it in an encrypted disk image. http://support.apple.com/kb/HT1578