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.

If you want to change the icon of the shorcut created follow step 7 to step 11.

7. Right click on the New icon created and choose properties.

8. Click on Change icon.

9. In the text box enter Shell32.dll press enter.

10. Choose an icon from the list.

11. Click Apply

If you want to create a shortcut key for this

12. Right click on the New icon created and choose properties.

13. Put your cursor on Shortcut key text box.

14. Choose your key, if you want Ctrl+Shift+L, press Ctrl,Shift and L

15. Click Apply

Now Ctrl+Shift+L will lock your work station