Not sure about making it go away completely, but here's how to get to it- go into Settings, then Location & Security, then Change Screen Lock. That will get you in the neighborhood.
If you can't eliminate it with that, and if you are rooted, you might try Battery Indicator Pro. It has in it's menu an option to Disable Lock Screen. Not sure why it is in a battery app, but it is.
Battery Indicator Pro... I will look into that when I solve my bigger problem of not being able to receive downloaded apps from the Market (an app which also vanished recently). Oh, yes I am also rooted.
