Locking one blog of many in a multi user/blog WordPress installation

It depends on your user account structure. The superadmin of the MU can always edit anything and you cannot lock that one out for obvious reasons, but you can remove all other users from that 1 website you want to lock down.

Go to Network Admin > Sites > Edit (link) and then in the Users TAB you can remove all users except the network superadmin.

If you want to lock it for external users, just turn off user registration and comments for that site.