How Do I Lock My Airport Express Network?

You will need to enable wireless encryption on your AirPort Express Base Station (AX) in order to get the "lock" symbol.

To enable wireless security on the AirPort Express Base Station (AX), using the AirPort Utility (in Manual Setup), either connect to the AX's wireless network or temporarily connect your computer directly (using an Ethernet cable) to the Ethernet port of the AX, and then, try these settings:

AirPort > Wireless tab
o Wireless Security: WPA/WPA2 Personal or WPA2 Personal
o Wireless Password: <enter your wireless network security password or key>
o Verify Password: <re-enter your wireless network security password or key>
o Click on "Update" to save the settings to the AX.

It's possible that the additional overhead traffic introduced when enabling wireless security has reduced the throughput rate between your computer and the AX enough to be "heard" as a decrease in audio quality when streaming iTunes.

Some things you can try:
o Disable wireless encryption. Does the sound quality improve? If it does, try the following encryption schemes in order: WPA2 Personal, WPA/WPA2 Personal, and then WEP. These represent the most-to-least secure methods. Note, typically more secure = less performance due to overhead.
o Change radio channels on the AX until you get better sound or run out of channels.
o It is very possible that you may have some form of Wi-Fi interference that has been introduced recently in the immediate area that is preventing your AX from getting a good clean signal.

I suggest you perform a simple site survey, using utilities like MacStumbler or iStumbler to determine potential areas of interference, and then, try to either eliminate or significantly reduce them where possible.