Locked files are files (and folders) that are currently open and in use. As such, they cannot be moved, deleted, or renamed.
When a file or folder is opened, the open-operation can be done with a flag that tells the system to lock the file. This locking avoids unexpected changes to the file while the program has it open and is using it to prevent corruption or other undesirable behavior (like the program crashing).
When a file or folder is locked, it cannot be moved, renamed, or deleted. This is usually resolved by closing the program that has it open, but sometimes the lock remains even after the program is closed and utilities have to be used to forcibly close the lock. Forcibly closing the lock while the program is still running may cause the program to crash if it then tries to access it.