The quickest way to lock your gear screen is to just use the Win+L keyboard shortcut.
Right-click wherever you want to create the shortcut, choose New, and then Shortcut.
Enter the following text into the shortcut textbox.
Note that the screen will look different on Windows XP, but the same text should work.
rundll32.exe user32.dll, LockWorkStation
Enter a name for the shortcut, and then click Finish.
That’s about all there is to it.