If you are on a Mac then the first place you should always check if a drive is not showing is the Disk Utility. If the drive shows there but is grayed out then that means the device likely is unmounted due to a software corruption. If it is not showing in Disk Utility at all it would be a hardware failure. If it is software corruption you can Erase the drive and it clean off the corruption and allow it to be used again however it will be empty.
If on Windows the process is similar except you check Disk Management to see if it is listed there.
The lock icon is an industry standard hardware lock slot for a Kensington lock mechanism. The sort of thing you see when products are on display at stores, it is a tether or sorts so they don’t get removed/stolen. It isn’t necessary for the usage of the product.