What airport window? There is no window called the "airport window" that I'm aware of.
Do you mean in System Preferences - Network - like this window?
That window is the Network Preference Pane (or Network Preferences). The lock at the bottom left of the window has nothing to do with whether your wifi network is locked. That lock has to do with your System Preferences and will always be unlocked unless you want to change it to require your password for making any changes to your System Preferences. That would be done in System Preferences - Security - General and put a check next to
"Require a password to unlock each System Preferences pane".
The wifi network of your router can neither be locked nor unlocked from this window. That can only be accomplished via the router.
To verify your network is password protected - in the Network Pref Pane, put a check next to
"Show Airport status in menu bar". You will then have the following in the menu bar.
Click the icon and it will show you all the networks within range and whether they are locked or open.