Create

a shortcut to lock computer
Right click on desktop and select new -> shortcut.
Then copy and paste this in the program location box
rundll32.exe user32.dll,LockWorkStation
Click next and enter a name for you shortcut and then click finish.
Now you can copy and paste that shortcut anywhere you want on your computer.

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Regedit stays expanded
Open Regedit
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Applets\Regedit
and look for the value LastKey. Double-click it and clear the string.
Then right-click the Regedit key (in the lefthand pane) and select Permissions.
Set Permissions to Deny for any/all users/groups