Most cars with locking wheel nuts have one on each wheel, with a patterned head that only its matching key will turn. The key is a small socket that fits between the nut and the wheel brace. Without it the wheel cannot come off, so a lost or broken key turns a simple puncture into a bigger job.
Each key has a code, usually on a small card that came with the car or stamped on the key itself. With the code, a replacement key can often be ordered from a dealer or the lock maker, which is worth doing if the wheel does not need to come off urgently.
A nut can also be damaged: the pattern rounds off when the wrong tool or an impact gun is used, or the key snaps inside the nut. In those cases the key would not help even if it turned up, and the nut has to be removed.