Go to the area where you want to create the shortcut, right click and select New and then Shortcut.
The window for the shortcut will open just enters the following text in the shortcut textbox . You will write this text to Windows XP also but the difference is that the window for shortcut text will different.
rundll32.exe user32.dll, LockWorkStation
After this enter the name for the shortcut and then tick on finish. In this way you have shortcut for window screen lock.