Most SE's are only going to run Java apps, and unfortunately they're not going to have access to the lower levels of the operating system. In a nutshell, that makes it pretty hard for a third party application to effectively lock a SE handset.

Maybe these tips from the W810i will help? It's not exactly the same as how Nokia's security code works, but it'll protect the handset. http://www.knowyourmobile.com/sonyer...our_phone.html