1. Right click on your desktop and click "new shortcut" on the context menu.
2. In the shortcut's target box type the following without the surrounding quotes "%windir%\System32\rundll32.exe user32.dll, LockWorkStation"
3. Now close the shortcut properties window and double click on the icon. It should lock your computer.
4. If you want to change the icon to make it more meaningful, right click on the new shortcut and select properties from the context menu. Next, click the button that says "Change Icon."
5. In the box that says "Look for icons in this file" enter the follow without the surrounding quotes "%SystemRoot%\system32\SHELL32.dll" and hit the enter key.
6. You should now see many icon options from which you can choose.
7. After you have created the shortcut and selected a meaningful icon, my last suggestion is to drag the icon to your quick launch bar (the icons beside the start menu on the task bar). This will make the icon more accessible.
OR, if you have a Windows keyboard you can just hold down the "Windows" key (located in the lower left of the keyboard) and press the "L" button. But that is not nearly as cool as having an icon do the job.