It means something has happened in that thread that breaks the forum rules or the original author may have asked a mod to lock it. Only those with mod priviledges can post, or edit posts, in locked threads.
p.s. Sometimes a thread will be locked if a mod decides it is no longer any use i.e. a question has been asked and answered, but this doesn't happen very often because most questions asked here have different answers for different people's opinions.
EDIT:: If you ain't too sure about the rules have a look here.
http://www.thegamecreators.com/?gf=aup or if that's too much to remember the condensed version might be
Quote: "Be courteous to your fellow developers"
sheep (I love)