Where can I find this feature when I am watching a YouTube video, surfing the web, etc where the current screen stays on or locked even from accidental touch? Sorry I can't really explain it better. Thanks!
Press the multitasking button and locate the app you want on screen. On the bottom right of it there should be a 'tack' icon in blue. Tap that and now the app is 'locked' on the screen. Screen touch is still registered, you just can't exit the app without 'unpinning' it first.
You must have this option enabled in your settings, though. Lock screen and security, Other security Settings, Pin Windows (in the Advanced section).