Not sure if he means unlocking as in unlocking the keypad (as per Dale's post) or unlocking the phone for use on other networks (as per brad's post).
Unlocking phones (afaik) is illegal in the U.S. I don't know why you'd want to do it, but hey, people have their reasons.
But if you mistakenly unlocked your phone, I've found most nokias actually tell you Press "unlock" (softkey on left side (aka Left Menu)) then *. Honestly it's not that hard to unlock the keypad on those phones.
[edit] just noticed you're in Australia [/edit]