A differential lock (commonly referred to as the diff-lock) is a mechanism used to block the action of a front and/or rear differential. The differential lock ultimately binds the differential gearing together and forces the driving wheels to spin at the same rate.
Hardcore four-wheel-drive vehicles have a diff lock mechanism because when the going gets really tough and slippery (or should that be soft and slippery?), a differential lock is superb for gaining as much go-forward traction as possible.
A difflock can only be applied in slippery conditions as it would not only make turning a corner difficult, but would be very hard on the axle and gearing, not to mention the rubber. Actually, expensive damage can occur to differential and axle if the differential lock is left on while driving on tarmac and similar surfaces.
So have fun off road and make the most of that differential lock. But don't forget to unlock it once you're back on the tarmac again.