Nope.
But you can take screen shots of them.
You can't lock your iPhone apps without jailbreaking the phone.
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I am not aware of being able to "lock" a message, but you can take a picture of the message by pressing the menu and lock button simultaneously and it will be saved in your photos. This works great for saving random cool things that come across your iPhone.
Yes I Use it every day it is my lock screen on my Mac and IPhone 4
I wrote this and it is excatly how you take pictures of your messages and screen
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That is the iPhone 4 GSM. It was the first iPhone 4 released by AT&T.
By pressing the lock button on the top right of the iPhone.
Screen lock - is an option to stop accidental use of he phone while (for example) it's in a pocket.
no
Yes. If you update your iPhone's software using iTunes it will lock your iPhone again. You will then need to unlock it again.