Short tips: If you are in a hurry and need to lock your (MS Windows) desktop, press Windows+L

Longer version:

Applicable on: MS Windows with Windows-compatible keyboard with Windows logo on the keyboard

The 'Windows' key in the keyboard is the key with MS Windows logo. Usually located between Ctrl and Alt.

If you are -somehow- using Mac keyboard, the Windows key is equivalent to the Command key.

Remember: Lock -> L