If you're leaving your PC for a moment then locking it (press Win+L) will prevent others from accessing the system. But that may not be convenient, especially if it's a shared computer which everyone uses.
With WinLock, though, you can password-protect just a specific window. Which means you can hide and lock the application you're working on, but leave the rest of the system available for others to access as necessary.
Once WinLock is running, you're able to activate it simply by choosing the window you want to protect, and pressing Ctrl+Space. The application will minimise to an icon in your system tray.
To restore your program you must then double-click the icon, and enter the "unlock" password ("123" by default, though you can change this to whatever you like).
There are some problems with this scheme, most notably the way that the program really will lock any active window when you press Ctrl+Space. We accidentally managed to get it to lock Explorer.exe, which meant the taskbar (and system tray) disappeared, giving us no way to bring it back.
And what, we wondered, would happen to a locked application if WinLock crashed? To simulate this we forcibly closed WinLock via Task Manager, and our minimised application simply disappeared.
These aren't necessarily fatal problems. WinLock is a likeable little program which performs a useful function, and provides adequate security for many situations.
We'd recommend you use it with care, though. Make very sure you select the program you want to lock before pressing Ctrl+Space, and probably save anything you're working on before you minimise the app, too.