A padlock with a circular arrow around it in the status bar at the top the screen means that the phone is locked in portrait mode and will not rotate to landscape mode. This can be turned on and off by double clicking home so that your open apps are displayed. Then, swipe these icons to the right until your iPod controls appear, where you should see an icon with a circular arrow. This icon locks your screen rotation. Good luck and I hope this helps!
I was asked to update this answer because the method has been modified to something very similar with the advent of iOS 7. You now have to swipe up to bring up the control center and then click the lock/unlock icon on the top-right of the menu to engage/disengage the screen lock. (Thank you Miro & iFixers :-)