First time milling.. not sure what I'm doing wrong.

[Mitch Alsup]

Does it not have a spindle lock?

My Mill (Grizzly G0730) does not have a spindle lock. I be none of the 6*26 and 8*30 Mills have spindle locks.
It does have a Quill lock.

Spindle goes round and round.
Quill goes up and down.

 

[P. Waller]

The machines I have worked with have a spindle "Brake", but not a spindle "Lock".

A simple difference in nomenclature I suspect, if a device stops a spindle from freely rotating I call it a lock, a brake is also an accurate description.
I always use the brake on a Bridgeport mill to stop the spindle and drive as fast as possible.

A lathe without a spindle brake is annoying as well.

 

[pacifica]

Yeah, it's hardened steel definitely. I was running my file on it and it was gliding smooth. I need to invest in carbide end mills or cobalt.

Which ones are better for hardened materials? Carbide or cobalt? And what coating?

You would probably be better off not trying to mill hardened steel. Very quickly you can ruin expensive tooling. Abrasive grinder will do the job.