When walking away from your workstation for even a short period of time it is recommended you lock your workstation due to the nature of information dealt with on a daily basis.
Windows Key + L locks your computer.
Ctrl+Alt+Del will also lock your screen.
After you use Ctrl+Alt+Del you will get a screen that shows Lock this computer, Switch User, Log off, Change a password and Start Task Manager. You need to click on Lock this computer.
When using a thin client you may need to initiate a lock by using Ctrl+Alt+End then selecting "Lock This Computer"