Albie Waterton is correct. You can use the "Lock Rotation" Command on the parts. If you have many mates, you can right click on the mate folder and it will show "Lock Concentric Rotation". This will do the entire assembly.
Mate one of the major plane (xy, yz, xz) to prevent it from rotate.
It's not important to prevent it from rotate unless you're doing motion, stress analysis.
Most people will have rotating fasteners all over the assembly.