Is there any Software which Prompts for Pass just before/after Unlocking the device?
Like, first we have to enter a password then only the device will be unlocked.

Only the password prompting software and NOT S2U2 coz it has some changed unlocking style which after uninstallation, the device cannot be locked (as said by a user in this forum).

Windows Mobile Allows you to lock your device using a password use that (Just Set the Lock Threshold very low to say about 30 seconds)

Try this:

viewtopic.php?f=53&t=61805&hilit=mlock