Sometimes you purchase a vehicle that has wheel locks but the former owner forgot to give you the key to remove them. Sometimes you lost the key. Either way, you're going to have to remove the wheel locks before you can remove the wheel. Several companies make a special socket set for doing this very thing.
The sets are often expensive, and for a one-time use it doesn't make much sense to buy one. I have had luck hammering an old socket onto the outside of a wheel lock and breaking it loose with a breaker bar. This might not always work, but it's worked several times for me in the past. Here's a video on the process.