To lock a computer in XP, as you probably know, you press "L" while holding down "Windows Logo" key on your keyboard. However, if you would like to lock a computer remotely, for example via "Remote Administrator", you don't have this ability. What you can do instead, is to create a shortcut on remote computer's desktop where

Target %windir%\System32\rundll32.exe user32.dll,LockWorkStation

Start In %windir%