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.
A locked archive cannot be modified by WinRAR. You may lock important archives to prevent accidental modification. This feature is supported only by RAR archives.