From my experience, annoying people don’t get subtle digs. Since your response is reasonable and you would be embarrassed, I find it hard to believe you would be in that situation in the first place.
Good GOD, if I had a coworker that jiggled my mouse so they could see what was underneath my screensaver, (I feel so very wrong, typing that) they’d likely not get their grubby little paw back. I’m not an overly private person, but shit. That’s just rude as hell. I agree you should put a password on it, and the next time he does it, just ask “can I help you find something?” coupled with a nice, icy glare. People like that sometimes need to be shamed into learning some freaking manners.
As for the “I’m just NOSY” types (and I’ve known plenty) I’d usually just give them an ominous “well, curiosity DID kill the cat” coupled with an evil, evil grin.
They back off every time. 
Apparently that’s how you be polite, by being condescending.
I know, I don’t get it either.
I think this is hysterical.
That’s quite all right, dear boy; you don’t need to get it.
I’d pat you on the head, but some small shred of self-preservation instinct is stopping me.
Daniel
I rather think that’s the entire point.
Reminds me of a conversation between two of my friends recently.
Friend 1 does something courteous.
Friend 2: “Quit being so condescending!”
Friend 1: “I’m not being condescending, I’m being courteous.”
Friend 2: “At a certain point, they’re the same thing.”
*pause"
Friend 1: “Wow, I guess you’re right.”
How about just saying, “Well, I’d rather you weren’t,” and then turn away and go on? Still polite, but blunt enough to get the point across.
People like that piss me off.
Usually when I say, “May I be nosy?” it’s usually tongue in cheek during a gossip fest.
Maybe let him glimpse this thread could also help…
Howdy stranger.
My two cents on this,
I also find it irritating whenever someone announces they’re about to be rude or obnoxious, believing that this some how makes it acceptable to the rest of the civilized world.
One response I have found successful in the past, whenever someone is pulling this kind of nonsense is to just ignore the whole nosy and / or rude issue and jump, with incredulity in your voice, directly to, ‘And you feel the need to boast because you’re so proud of this?’
Give it a go, it might put it in perspective for them.
Peace
Part of me would be tempted to be ‘just nosy’ right back at him.
Dude, where’d you get such ugly ass shoes? HAHA! Just Nosy!
Hey, Have you always been so nosy? Just Nosy!
I’m sure you can come up with other things to be ‘just nosy’ about, too.
Spray him with a fire extinguisher.
Don’t be dissin’ my girl Miss Manners.
Esprix
Oh lieu. That’s your answer for EVERYTHING.
Except fires.
Well, in fairness to Miss Manners, who I really appreciate, that is not a Miss Manners quote - it’s actually county saying what he thinks Miss Manners might say.
Nah, usually his answer is in some way related to his ass.
Okay… spray him with my ass.
If you really wanted to be charitable you can pull him aside on your last day and tell him, “Dude, the cute ‘I’m just being nosy bit?’ Yeah, not so much. It’s really annoying, so much I posted about it on this VERY popular message board. Everyone there thinks you’re a big tool, so I would suggest minding your own goddamned business in the future. You’re not being friendly, you’re being incredibly intrusive.”
Then, if you need to, throw in a snotty Miss Manners cocked eyebrow as you saunter out the door for the last time.
Hit him with a banjo.