How can I map Win + L to lock screen in KDE4?

Here's what you could do to remap session locking from default Ctrl+Alt+L (tested with KDE4.3) :

1. Go to "System Settings" (KDE menu).
2. Choose "Keyboard & mouse" (on "General" tab).
3. Choose "Global Keyboard Shortcuts" on the left.
4. Choose "Run Command Interface" from "KDE component" dropdown list.
5. Choose "Lock session".
6. Select "Custom".
7. Click on "None" (button changes to "Input...").
8. Compose your desired sequence by pressing appropriate buttons on your keyboard.
9. Click "Apply".

In Kubuntu 14.04 it's

• System Settings (from the Kickoff "Start" menu)
• Shortcuts and Gestures
• Global Keyboard Shortcuts
• KDE Component: The KDE Session Manager (at the bottom of the list, scroll down)
• Lock Session

Kubuntu 18.10:

1. System settings
2. Search for "shortcuts"
3. Global shortcuts
4. ksmserver
5. Lock session