I never found a way to lock the screen convenient to prevent intrusive people to look at my documents. Actually this functionality present on Windows (windows-key+L) also exists on Mac. Here is the way:
To enable this feature, you will have to go to System Preferences -> Security & Privacy and to the tab General. Then check the box “required password”and set an interval that meets your needs.
Now you can lock the screen; simutaneously press Ctrl + Shift + Power (or Ctrl + Shift + Eject for older Macs).
Another handy key combination is Cmd + Option + Power (respectively Cmd + Option + Eject for older Macs) to put your mac into sleep mode.