Why doesn't my screen lock work (HTC Wildfire)?
I think you'll find that is normal. I wondered about it at first too.. If you lock your phone by pressing the power button, your phone is LOCKED, but not SECURE. Because you have only just been using your phone, if you unlock it immediately by re-pressing the power button and pulling down the clock, you won't have to enter your pincode or pattern, because it's highly unlikely to have been stolen in the past 30 seconds. However if you lock your phone via the power button (or if it times out by itself) and then you leave it for a few minutes then the next time you drag down the clock to unlock it, you'll also have to enter your pincode or pattern, to verify that it's you.

If you want your phone to ask for your pincode every time, straight away, go to:

"Settings" > "security" > "lock phone after" > and select, "immediately".

I have mine set to 3 minutes for convenience.

Hope this helps..