How can I map the "Eject" key on a Microsoft keyboard or create a new shortcut for locking my screen?
I don't know how to map a key to the Eject key, but you can easily create a new shortcut with Automator and Services:


Open Automator in the Applications folder.
Choose Service:


Select Utilities and drag Run AppleScript to the right pane:



Configure, on the top right corner, that the service should receive no input in any application. Then paste this AppleScript script:

on run {input, parameters}
    do shell script "open /System/Library/Frameworks/ScreenSaver.framework/Versions/A/Resources/ScreenSaverEngine.app"
end run

Save the service. Use a descriptive name, as it is the name that will appear in the Services menu. You can see in the screenshot above that I named the service Lock Screen.
Open System Preferences, select Keyboard and then the Shortcuts tab. Under General locate Lock Screen and assign a key shortcut to it. As you can see, I chose ControlCommandL:


The Lock Screen service is now accessible from any application as an entry in the Services menu:




Choose the service shortcut carefully to avoid conflicts with other applications' shortcuts.