Here the step by step way on doing it:

1. Go to Tools > Settings > Security Settings > Phone and SIM
2. Change “Allow Remote Lock” to Yes
3. Insert a password, contains 5 characters as minimal
4. Put a password again for verification

Not sure whether this way still work for other Nokia phones or not.

[Kompas via 3Gweek]

Changes or improvement on the new Nokia E61i firmware:

Messaging

• Reading of SMS time stamp information unified between regions
• SMS sending from SIM Toolkit – Profile 07 improved
• Unicode Handling with Turkish characters corrected
• Correction to fetching email from freemail server
• Intellisync: Slowness of searching a contact for the first time corrected

SIM

• After the startup, the phone recognizes the language to use from the SIM card
  SMSC is re-read from SIM after switch on

VOIP

• Improvement of co-operation of Gizmo VoIP client and Internet voice mailbox
• SIP Proxy Authentication corrected in outgoing call if two SIP profiles with same realm and user name

WAP

• Correction of Chinese word corruption with WAP browser
• Searching in Hebrew from portal corrected
• Wap GET/POST forms corrected when using Greek characters
• Reset during WAP browsing and MT calls corrected

Others

• Operator name list updated
• Start-up settings updated
• Settings Wizard updated
• Start-up date changed to 1.1.2008
• Correction of DRMClock behaviour with NITZObserver with negative time zone values
• Localization improvements

Source [symbian-world] via [allaboutsymbian]