1. Anti aircraft missiles come in basically 4 types (some others have been tried but aren't in common use).
Active radar homing
Passive radar homing
Infrared homing
Laser guided
Active radar homing has a radar in the missile sending out signals. Those signals can be detected and classified by the target aircraft.
Passive radar homing has a receiver in the missile reacting to specific signals bounced off of the target by the launching system. These too can be detected and classified by the target aircraft.
Infrared missiles are completely passive and can't be detected this way.
Laser guided missiles are like passive radar homing missiles, except they react to reflections of a laser beam rather than a radar signal. These too can of course be detected and classified with appropriate sensors.
There have been some attempts at detecting missiles by their own infrared signature, typically their engine exhaust. But this is problematic because most of that is of course blocked from the missile's target by the missile body, and also many missiles will spend a lot of their flight towards the target in an unpowered glide state, thus not having a hot engine exhaust.
Other systems generally can't be detected by the target either. Think optical guidance using a radio link with the missile (while you might be able to detect the link, you can't readily know what it's doing or that you're the target if you do recognise it as a missile guidance link).
Optical guidance using control wires is not generally used with anti-aircraft missiles, but sometimes anti-tank missiles using these systems are used against slow flying aircraft. These are utterly impossible to detect.
2.A general search radar, because it has to search a much larger portion of the area around the plane, can only scan so many times a second.
When that radar finds a target, and the pilot commands the system to lock onto the target, it enables a different radar system, that searches a much smaller portion of the area around the plane where the target is known to be. This gives not only greater resolution on the target, but it can scan it much faster because it's only scanning a small portion of the area around the plane.
Targeted missiles also only scan a small portion ahead of them, and do so very quickly so they can react quickly to changes in target vector and position.
Most "missile lock indicators" simply listen to how frequently a radar scan takes place, and when it starts happening very quickly it indicates that the faster, more focused radar has found them and is considered locked on, or that a missile with a fast, focused radar has found them and is locked on.
3. The subject of a radar lock-on may become aware of the fact that it is being actively targeted by virtue of the electro-magnetic emissions of the tracking system, notably the illuminator. This condition will present a heightened threat to the target, as it indicates that a missile may be about to be fired at it.