Yes, but it'll be a bit messy to get rid of the frob highlight.
I might be wrong about all this, so you might want to dig around in the wiki, just in case.
To lock a door, you place the door actor as usual, then right-click and select properties (or press f4, though that doesn't always open the window), then right-click the window and select Add Property>Lock>bIslocked and Lock>KeyString
bIsLocked should be set to TRUE, so that when you frob the door, it doesn't open (but it still highlights, so you can frob it and hear the locked sound).
KeyString should be set to some easy to remember text.
You then need to add a key actor (under SetDressing>Inventory>Keys I think), which you add the KeyString property too as well, with the same name, and when the key is picked up it should unlock any doors with the same KeyString text.
To make the door un-highlightable too would require making the HighlightDist on the door=0, then when the key is picked up having a script that increases the value back up (defaults to 128), so it highlights and can be frobbed to use the key and unlock it.