This command is accessible both in file management and in archive management modes. If you are inside of archive, there is no need to select any files, just run "Lock archive" command using either Commands menu, "Lock" button on the toolbar or Alt+L keyboard shortcut. If you browse uncompressed files in the file management mode, first select files and folders which will be searched for archives to lock.
WinRAR cannot modify locked archives, so locking important archives prevents their accidental modification by WinRAR. Such protection might be especially useful in case of WinRAR commands processing archives in groups.
This command is not intended or able to prevent modification by other tools or willful third party. It implements a safety measure only for accidental data change by WinRAR. It is supported only by RAR archives.