The "System Preferences" window's "Security & Privacy" tab should be selected. To authorise changes, pick the "General" tab and then the lock in the bottom left corner. Select "Unlock" after entering your computer's username and password. Pick the radio button to the left of "Anywhere" in the "Allow apps downloaded from:" section.
ok I understand if you want to lock your screen on shortcut here is press the "Win key + L" simultaneously.
And her is manual setup
Go to Settings > Start. Select Lock screen > Personalization. Choose one of the options under "Personalize your lock screen" from the list: For immediately displaying great images, choose Windows Spotlight.