1.Right-click the desktop. 

2.Point to New, and then click Shortcut.

3.The Create Shortcut Wizard opens. In the text box, type the following: 
rundll32.exe user32.dll,LockWorkStation

4.Click Next.

5.Enter a name for the shortcut. You can call it "Lock Workstation" or choose any name you like.

6.Click Finish.

Note: You can also change the shortcut's icon (my personal favorite is the padlock icon in shell32.dll).

To change the icon:

1.Right click the shortcut and then select Properties. 

2.Click the Shortcut tab, and then click the Change Icon button.

3.In the Look for icons in this file text box, type: Shell32.dll.

4.Click OK.

5.Select one of the icons from the list and then click OK.

Note:You could also give it a shortcut keystroke such CTRL+ALT+L. This would save you only one keystroke from the normal command, but it could be more convenient.

Your comment will be appreciated!!!