QUESTION ABOUT: Automatically Lock Your Computer When You’re Away(5 posts)
You can create a DESKTOP icon with the command SHUTDOWN.EXE /L and it will lock the screen and take you to the UserID prompt (you should have a p/w on your UserID as well for security) and you click on it when you leave. Basically the same as Gedstar gave as a solution.
EDIT: You will lose everything 'in progress' with these solutions. Having it go to sleep might be a better solution.