| This kind of baffles me, there is no default screen lock for the Snow Leopard desktop which seems a bit odd to me. Either way, to enable it go into /Applications/Utilities/ and click on keychain access. Under the keychain access menu, click preferences, then click show status in menu bar. A little lock will appear in the menu bar. You can now click it and lock the screen.
Hope that helps others! | 
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