Until now, I also cannot find any program that can lock any application in PPC World, but in Palm world, there is one application : Applock (http://www.pocketscience.com.au) which will meet your question. If I found any, I'll inform you.
I think you can do another things :
1. Set a password for your PDA. Each time your PDA turn on, it will ask password. You can do that in Security setting. or...
2. Hide your application. By hiding your application, none can know any application that you have hide.
Hopefully helps.
Regards,