It isn't always obvious how to unlock a BlackBerry -- on every BlackBerry device, there's a specific button or method that does it that varies from model to model. If you choose to set a password on your BlackBerry, be very careful to memorize that password and keep a copy of it elsewhere. If you lose it, there's no way for you to recover it -- all the personal data on your device will be lost and you'll have to wipe the phone to get it to a usable state again. (Ref. 1)
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Different Unlock Methods for Different BlackBerries
To unlock most BlackBerries, look for a physical button on the top of the phone. On the Q10 series of devices, it's the power button itself. On the Bold series, it's a dedicated button in the top-left with a small padlock icon. On the Curve series, it's the "Play/Pause/"Mute" button. If you lock your phone often to avoid pocket dialing, consider getting a case or a holster to keep your BlackBerry secure. You can buy these accessories from BlackBerry's official store, or from a third party.