How to lock my computer when I’m away?

I want to know how to automatically lock my Windows 7 computer, when I’m out or when I’m away for a short period of time. We have kids in our house and they always play with the computer. I have work to do and I do not want them to turn the PC on and off.
This will be a waste of time. So I want to know if there is a way that I can lock it, while I’m not on my desk. Help!
