As BurrWalnut said, the lock icon indicates a junction point : a hidden, protected operating system file that isn't meant to be accessed by users. Each one points to a user-accessible folder:
Application Data - C:\Users{user name}\AppData\Roaming
Cookies - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\Cookies
History - C:\Users{user name}\AppData\Local\Microsoft\Windows\History
Local Settings - C:\Users{user name}\AppData\Local
My Documents - C:\Users{user name}\Documents
NetHood - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\Network Shortcuts
PrintHood - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\Printer Shortcuts
Recent - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\Recent
SendTo - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\SendTo
Start Menu - C:\Users{user name}\AppData\Roaming\Microsoft\Windows\Start Menu
Templates - C:\Users{user name}\AppData\Roaming
Temporary Internet Files - C:\Users{user name}\AppData\Local\Microsoft\Windows\Temporary Internet Files
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