that means it cant find the file for that account, got to - Tools - Account settings - and then look for that account. Under Server Settings look for Local Directory and point it to the folder containing that email account - normally under C:\Users\username\AppData\Roaming\Thunderbird\Profiles\xxxxxxxx.default
Perhaps I am out in left field, but when I had that little lock on my email account in Thunderbird, the only way I could figure out to get rid of it was to uncheck SSL in the Security Setting window on that mail account. I'm not sure if that is the only thing it means - but that's what I found got rid of it.
I am sure one of the younger, more intelligent folks will add more to my response - please keep in mind I have only tried to use Thunderbird for two days now!
<edit> Looks like I didn't know what I was talking about - sorry! <edit>