Like on all other mobile cell phones you can set a lock code. Once it is locked or fallen asleep by pressing the power button, you need to enter a code to unlock, and make it ready for use, again. To activate this option go to Settings -> General -> Passcode lock. Put in a PIN code. In the same settings, you can set how long it takes until it will be auto-locked either iPhone is unused or after what time it is sent to sleep.
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