can iphone connect to wifi while locked?

It will stay connected to wifi when locked but will not connect to a new wifi when locked. You need to unlock it and goto wifi to connect to new wifi connection

What do you mean by "locked"? If the screen goes dark and it goes to sleep it will drop the USB connection unless it is connected to AC power.

To set up a new wireless connection you will need to unlock your phone and access the "Wi-Fi" option in Settings. After that you can proceed to set up a new connection as you see fit.

Considering your question is not phrased well there may more information you're looking for, so please feel free to ask in case you're having any trouble? Are you able to unlock your iPhone? That would be a completely different problem.