Saw this button some time ago in one of our internal systems. At first I thought it was an application that needed to be installed but after some searching and hindsight it didn't make any sense to actually need one more running program just to call the lock screen feature.
Fortunately, Ubuntu has this to say:
You can add a Lock Screen button to a panel for easy access. Right-click a panel (for example, the panel at the top of the screen), select Add to Panel... and drag the Lock Screen item to the desired location.
Works on my Jaunty, too.