Create a new shortcut on your desktop (right-click > New Shortcut), then copy and paste the following into the location field:

rundll32.exe user32.dll,LockWorkStation

Click next and enter a name for the shortcut (like "Lock Workstation", for example) and then click finish. Now you can copy and paste that shortcut anywhere you want on your computer.

I like to pin it to my Start Menu, personally.   

You can also change the icon for it by right-clicking on it and choosing "Properties", then clicking the Change Icon button.