First of all, it sounds like you're leaving the profile editor open when playing Lock On. You don't need to open this unless you're editing the profile.
To load your profile ready for flight, you just need to right click on the joystick icon in the system tray and select the profile.
You also say that you got the profile from Lockonfiles. You need to make sure that the key stroke configuration within the Lock On options matches those in the profile. For example, I have the air brake mapped to the large button on the thottle (in the centre of the rotary). In my Saitek profile, the button is mapped to the 'B' keystroke. In the Lock On options, the 'B' key is linked to the air brake command.
You need to look in the profile using the profile editor and see what buttons are mapped to which keystrokes, then update the Lock On options accordingly.
Otherwise, it might be best just to make your own joystick profile.
I hope that's clear and/or helps! :P