What your probably looking for is the ability to kick off the screen saver when you leave your workstation (and effectively locking it, if you have the password protect option enabled).
There are many third party apps which can enable this ability with a double click. A quick resolution for you would be to visit
www.synthesoft.com and download one of thier screen savers. As part of the package, it will install an application called Runner, which will reside in you tool tray. Double clicking it will fire off the screen saver and you'll be locked.