I don't know that you can...certainly, out-of-the-box, there's not an obvious way to do this that I've ever heard of.
Certainly, the Play Store (old Market) and Google don't want you to do this...
You can prevent (sort-of, byI turning off a switch/setting in the Settings app) apps from being installed from outside of the Play Store.
I'm betting there's a way to do this if you were rooted, but the solution I have in mind would be pretty invasive and wouldn't make the device very useful.
Maybe others know of a way...?
OP: by the way, I've edited your thread title from "apps" to "How can you lock apps being added".