Locking SDHC Memory card on Samsung Galaxy 2
You cant lock, in your definition, the sdcard or one file. But you have some ways to protect your file. 


Store it in a password protected Zip file.
Encrypt your sdcard
Use a AppLocker to lock the apps they are needed to view / edit the file.
Use BoxCryptor.


The only safe way is, to encrypt it. If you lock your sdcard with a software, the thief can easily connect it to a pc and steal the file or even steal the whole sdcard.