I have just installed Windows on my Mac and it worked well, but after finishing and trying to go to Mac partition it is shown on the screen a lock icon with a password field. I tried to enter different password, but it didn't work.
From your description, I believe you're looking at the firmware password:
This isn't specific for Boot Camp, and would have been set through the Firmware Password Utility. If you can't remember the password you set and can't boot into Mac, you'll need to go to an Apple Store.