MackieStingray: Locked doors must be opened by picking the lock. This is one of the Skills available, accessible either by the Skilldex on the interface, or by the number pad at the top of the keyboard, organized in the same order as on the Skilldex. Once you select the skill, your cursor will be altered; with the new, yellow, altered cursor, click the door.
This applies to all skills. For example, if you see an injured person (or injured cow, or whatever) and wish to heal it, you can select the First Aid or Doctor skills, and use that newly yellow cursor to click said critter to heal him or her up. (Only works outside of combat, as I recollect.)
Best familiarize yourself with them. They're a major part of the game. I do suggest you read the manual, but saying that alone might be needlessly discouraging.
