"Locking" refers to a very specific windows feature, it is locking your session not the computer. It's been in Windows NT pretty much since the earliest releases.
Windows Key+L Works on NT4 and later for this. Windows XP depending on the configuration takes you back to the "welcome" screen. Windows 8 and later have a 'Lock Screen'.
"Locking" a computer doesn't suspend running processes, all tasks continue to run in the background. Eg if you connect a USB device, you will hear the USB connect sound and, in the background, necessary drivers will be installed. You can also log in as a different user on the system and have tasks from multiple users running in different sessions at the same time. Screensavers typically still run as well.