I found this in a few different places around the 'net - hopefully it's helpful:

Create a Desktop Shortcut to Lock Your Computer

You secure your computer by locking it whenever you're away from your desk. If you?re on a domain, by pressing Ctrl+Alt+Del and then clicking Lock Computer, you can prevent unauthorized users from gaining access to your computer. Only you and members of the Administrators group on your computer can unlock it. (You unlock it by pressing Ctrl+Alt+Del, typing your password, and then clicking OK.)

To create an even quicker means of securing your computer, place a shortcut on your desktop to lock your computer:

• Right-click an open area of your desktop, point to New, and then click Shortcut.
• In the Location box, type %windir%\System32\rundll32.exe user32.dll,LockWorkStation
• Click Next, in the Name box type a name for the shortcut such as, Lock Computer, and then click Finish.