That is for the Quicklaunch. Basiclly with it locked you cant modify or move the Quicklaunch. But without it locked you can. So that way if you have more or less icons you can move it around. But you have to have the Quicklaunch active.
Icons are not necessarily shortcuts to applications. Some are jsut that...icons. While most of them do represent either a shortcut to the application executable or the executable some are just plain icons. Like the Recycle Bin or the My Computer Icon. Each serve a purpose but both are not executables. They just bring up another menu. They dont actually run a application. But they do serve a purpose.
Most of the time they have the little arrow in the lower left corner. That signifies the Shortcut.
just drag what you want in the quick launch bar, onto it. And if you want to delete something out of it, just right click on the icon and go to delete.