How do I lock the screen using a keyboard shortcut on OS X Mountain Lion with a Microsoft Natural Ergonomic Keyboard 4000?
You do not need to use Third Party Apps to set a global short cut.
You can use Automator Services,System Preferences keyboard Shortcuts and the CGSession -suspend command that switches to a login screen.

Use the Applescript :

do shell script "/System/Library/CoreServices/Menu\\ Extras/User.menu/Contents/Resources/CGSession -suspend"


in a Automator 'Service' like this with the set up as no input and all applications.



Save it and then go to the Keyboard System Preferences. -> Keyboard Shortcuts tab.  Select Services on the right. And scroll down to the bottom on the left to 'General'. There you will see your service. Click the addShortCut. And give the service a shortcut. Clost system prefs.



You may need to quit some apps and re open them first for them to pick up the short cut for the first time. You can see the ones that have already picked it up..



Now try the shortcut from the keyboard.