I have not done a port scan on a computer where this is set, nevertheless I am wondering if anyone knows what exactly, if anything, "Lock This Computer" protects besides keyboard/monitor?

When you are done using Windows Vista, you don't have to log off. You can choose to lock the computer or to allow someone else to log on to the computer by using Fast User Switching. If you lock the computer, only you or an administrator can unlock it.

how do you unlock the computer once it has been locked because my computer was locked so my sister could have access without putting the password, but now I think it would be a better idea to have a password.

You could use a finger print scanner and have your fingers and your sisters fingers enrolled and have the password so that only you know it. Then you can log on either by using the password or enrolled fingers and the other user can use the same. (You will have to enroll different fingers as it cannot have multiple fingers enrolled for the same finger if you know what I mean)