u cant just lock ur messages. Those security settings are to lock ur entire phone. Instructions on how to do that are here
http://au.answers.yahoo.com/question/index;_ylt=Al3KVNeANMLhgLrPmb2DrQVLRSE5;_ylv=3?qid=20110927131308AALcO7G
if u want to just lock or password protect certain parts of ur phone, theres plenty of apps at nokia app store that can do that, both free and charged, u just need to browse the store