To lock the screen of a Macbook or Mac running OSX use the following key combination:

<CONTROL> + <SHIFT> + <POWER>

In order for the screen to be password protected follow these steps:

1. Go to System Preferences

Lock Screen Mac OSX

2. Go to Security and Privacy

Lock Screen Mac OSX

3. Check Require Password Immediately After Sleep

Lock Screen Mac OSX

Now when you lock the screen it will ask for a password to unlock it.