To lock your computer usual way is to press 'Ctrl+Alt+Del' and click on 'Lock this computer' or 'Lock Computer'.
You can also use the keyboard shortcut: 'Windows Key + L'
This keyboard shortcut will not work if you want to lock the remote computer that you accessed with Remote Desktop, because it will lock your local computer instead of the remote one.
To lock the remote computer instead of 'Ctrl+Alt+Del', use 'Ctrl+Alt+End' and click on 'Lock this computer' or 'Lock Computer'.
You will get screen similar to this: