Are you lazy like me ... then read on :)
If you think pressing Ctrl + Alt + Del key to lock your machine is really too much then I am sure you would love this post.
Step 1: Right click an empty spot on your desktop and choose New >> Shortcut.
Step 2: In the Create Shortcut dialog box, type the following in the 'Type the location' of the item text box: rundll32 user32.dll,LockWorkStation .
Step 3: Click Next and give a name of your choice for this short cut.
That's it. Now when ever you feel like locking your machine, just click on this shortcut. Cool isn't it?!?