Just Follow the simple step >>
1. Right click an empty spot on the desktop, point to New and click Shortcut.
2. In the Create Shortcut dialog box, type the following in the 'Type the location' of the item
rundll32 user32.dll,LockWorkStation
3. Click Next
4. In "Type a name for this shortcut", type "" (any name as u wish) and Click Finish
5. This will Create a shortcut in your Desktop.
6.Now each time when you want to lock the computer , Just click on this shortcut.