I recall getting my first Mac in 2008 and attempting to figure out how to lock my screen. What's so hard about that? In the Windows world, I would just use <window key> + L or CNTRL-ALT-DEL and <enter>. As it turns out, there are several ways to accomplish this task with OS X. Mapping keys, writing an Automator script, etc.
The key combination is <option>, <command>, and the power button at the same time.
Another method that has stuck with me and is fairly straight forward is enabled via the native KeyChain Access app. Launch the application and take a look at the preferences. The first option under the General settings is to "Show keychain status in menu bar".