How do I screen pin several apps to Lollipop? How do you pin an app so that you cannot go to another app or web without a pass code? Can this be done for several apps at a time?
To pin an app to your screen, go to settings->security->pin windows->on.

Then turn on 'Use screen lock type to unpin' there is no option to choose the code for this action. It will simply use your lock screen code for this.

Now open the window that you would like to pin, and press the recent apps tab, and press on the 'pin' icon.
To un-pin the app, hold down the recent and back buttons at the same time. This will bring you to your lock screen where you could unlock it using your regular unlocking method.
(More detailed directions here)

Unfortunately there is no way to pin multiple apps at once.