How come the N95 has this option build-in?
Chech this review, somewhere in the middle, there is a screenshot where you can configure what it has to do when the slider is closed: always lock, always ask or do not lock.
FYI, the new version of Handy Keylock by Epocware now supports the E65 keylock slider feature. Slide and autolock, slide and no lock or keep it at the default where it asks the user which option they want.
If you change the settings to autolock or slide and no lock, you do still see the lock question for like a split second thought but still much more convenient.
I can verify that you can't disable the question when closing the slider, however you can set the slider to always unlock. This shows the 'Lock Keypad' question for about 1/2 second and it goes away.
This is not idea, but still better than hitting 'no' everytime.