Depends on what you mean by "Lock". You can set a password on it thorugh the BIOS or encrypt it using several programs. PGP and TureCrypt, or the built-in Windows encryption for folders

If you do that, make sure you create a recovery media to be able to restore the encryption key if you forget the password or if the drive has issues and you need to access the data without the original Windows setup. If you forget your password and never made a backup of the key, you will not be able to access you data, even if you cry really hard and stomp your feet.