How to lock Mac OS X screen

Go in applictions -> utilities and open 'Keychain Access'. In preferences check 'Show status in menu bar', then you will see a black padlock in the right of the task bar. To lock your screen you only need to click the padclock and select 'Lock Screen'. To lock require a password when your screen saver starts, go in 'System Preferences' -> 'Security', than check 'Require password to wake this computer from sleep or screensaver'. In Snow Leopard you can set the time when the screen will be blocked after the start of the screensaver.

References:

• In Mac OS X, how do I password-protect my computer? - http://kb.iu.edu/data/ajqx.html
• OS X Tip: Lock That Screen - http://www.whatdoiknow.org/archives/000957.shtml
• Add a screen locking icon to the menubar Desktop - http://www.macosxhints.com/article.php?story=20020901073230521