How to lock objects in render window?

I don't think there is anything like that, as far as I know. Try to avoid overlapping objects (even invisible-in-game objects, like sounds and ambient lights) so that you can more easily select exactly what you want. Other than that, it's sometimes difficult to select exactly what you want.

Always select what you want to move before trying to move it, and make sure the cursor changes to show that you're about to move it.

If you've got 2 objects close together and you can't seem to select the one you want, try changing the angle of the render window by rotating the view around. If that doesn't work, you might be able to select both objects in question by dragging a window around them. Be careful, since a window will select everything, even stuff way in the distance that you can't even see. (You can use the "C" button to zoom in on your selection to make sure you've got only what you wanted.) After you've selected both objects, you can hold the "ctrl" button down to deselect the one you don't want, but can click on.

Now, if you can't select the object directly, you might not be able to move it by clicking and dragging. In that case, you should open the (info window?) for that object and just change the number next to the Z category, using the up button in the window, to move it up until you can select and move it manually... or just use those up and down buttons to change the object's position X,Y,or Z.