Two ways
1) Also uncheck 'Lock all tables for read'.
2) Grant user LOCK_TABLES privilege. I think that this is a reather new privilege that you cannot manage from SQLyog. Use commandline client or MySQL Administrator as long as SQLyog does not support it!
Both methods have been tested here on MySQL 5.1.6 as a user having only SELECT (and LOCK_TABLES for 2nd way) only.
@ritesh: I think that 'Lock all tables for read' is CHECKED as DEFAULT. I think it should not be as long as SQLyog does not support the privilege from User Management.