How long are you leaving the computer inbetween locking it and unlocking it? Is the computer going into Standy By when you lock the computer? You might want to check the Power Options and ensure it doesn't go into Stand By, or even turn off hard disks while you're away from the computer.
If that doesn't help, maybe you can descirbe the situation a little more. Are you Administrator on that computer? Are you able to ping the computer over the network when it's locked?
Hope this helps,
TheDillo