Most of the time, you’ll want to lock your workstation. You may not be working with super-secret stuff, but you will want to keep your machine free of the wandering hands of your co-workers. I know some of my co-workers.
There may come a point where you don’t want a machine to be locked. It may be running a particular (poorly written) application that requires the console to be visible at all times. It may need input from time to time, and you won’t see the request for input if the screen is locked.
To disable locking, you can use this registry tweak:
[HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionPoliciesSystem]
"DisableLockWorkstation"=dword:00000001
If you want to re-enable locking, simply change the 1 to a 0, thusly:
[HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionPoliciesSystem]
"DisableLockWorkstation"=dword:00000000
No reboot is required.