Damodaran,

Central locking is a feature which allows locking/unlocking of all the doors from just one door (usually driver's side, but in some cases it can be passenger's side too). You just insert the key in the key-hole and turn it. All the doors will get locked/unlocked, depending on the action taken.

That's manual central locking.  There's remote central locking as well, where you need not insert the key for locking/unlocking the doors.  These also have sound indication & blinking of lights (while locking/unlocking).  Besides, these have buglor alarm, which starts the moment any door or bonnet is opened without using the remote.  This is advisable especially if your car is parked outside.