Well, it depends on the music player. I'm not sure of the other players, but the built-in one and ommpc2x will have the keys lock when the screen is turned off.
For the F-200's (and maybe also a FW 4.0 F-100) built-in music player, the combination key is "A + L". (The manual states that it's "Select + L", but this is incorrect.)
For the F-100's (older firmwares) built-in music player, it would be by just pressing the Select button.
For ommpc2x, it's by holding the Start button for 4-5 seconds.