I'm not sure what that key combination is you're using but I've not encountered that before...

 

You should be able to do it by holding the Windows key and pressing L

 

If it doesn't work you might have to enable Fast User Switching. Go to your Control Panel, choose User Accounts, click 'Change the way users log on or off' and make sure you enable Fast user switching'.

 

Once that's done you should just have to use Windows key and L.

 

Hope that helps,

 

Christoff.