How to lock this kind of window?
That's a window sash lock. It's designed to prevent someone from defeating the lock from the outside, or prevent a small child from opening it from the inside and falling out. Operates as any normal window sash latch would, only you have the option to lock it with a key as well. 

Personally, I consider it a death trap. If locked, there's a fire, and that's your only escape route, you've made a dangerous situation. 

Offers piece of mind to some people though.