Windows Media Player includes a feature that enables you to lock the screen at the same time makes use interface, so you can easily switch music or video with a locked screen.

Open the player in full screen mode and you will see a small icon in the lower right corner of the screen.

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When you click on this icon opens a small textbox where you can enter your PIN code, then click on the green box.

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Now your screen should be blocked, and Alt-Tab or the Windows keys will not work until you click the lock icon and enter the PIN again.

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It is worth noting that if you have a screenshot of the software installed as SnagIt, screenshot mode will interrupt the lock mode, so you want to close down that, before doing so.