This command allows you to lock a set of modes for your nickname. Set your modes to the modes you want to lock, and then set mlock on. You will be able to manually change your modes against your mlock, but when you go to use your nick and identify, your modes will automatically be set to your mlock.
Example:
/msg nickserv set mlock on
If you find yourself changing your modes every time you log on, then you should set an mlock. It's just a convenience for those who do not like the modes that they default to.