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If you want to lock the screen on an iPod Touch you will start by going to the
iPod Touch Settings. Inside the iPod

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Touch Settings go to the top of the third block and select General, which is above Music.

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Go to the fourth section in the iPod Touch's General Settings and select Passcode Lock, which is under Auto-Lock and above Restrictions. Inside Passcode Lock you will begin by hitting the Turn Passcode On, which will take you to a screen for you to set the iPod Touch's Passcode On. Here you will enter your iPod Touch's Passcode twice, and it will then be applied.