What you're referring to is UAC. This is normal. It was in Vista and XP to an extent too. The "locked" you mention is a form of sleep that Win 7 enters into. You have no password set so it just lets you in no problem. I didn't realize how new this was to you. These are red herrings that are confusing your issue - ignore them. Later, you can lower UAC down so it is not as intrusive but for now, solve your favourites issue.
Go to "User Accounts" in control panel and make sure you are logging in with an Admin account. If not, change it there. You may be using the non-classic view of control panel. Some pics just for reference. Ignore the highlighted red box, the option you need is above it. Mess around there and see what's doin.
