What does the lock icon in the Project Browser ?

The lock icon in the Project Browser keeps the current view of the Project Browser from being changed by something external. Here is a quick example:

You are working in a "Scripts" folder and lock the Project Browser. Select an instance of a Prefab you have in your scene and click the select button at the top of the inspector for that Prefab instance. Usually, this would cause the Project Browser to change to the location of the Prefab in your project's assets. However, with the Project browser locked, it will stay on the "Scripts" folder.

You will still be able to change the view as long as you are selecting things directly in the Project Browser. It only locks out the ability to change the view from an external action, like hitting the "Select" button in the inspector for a Prefab in your scene.

I hope that makes sense. Here is the page in the manual that explains it: Project Browser