The airlock is a hexagon shaped hole on the bridge of the the Satellite of Love, located in the right (to the viewer) corner next to the large door. Through the airlock objects can be launced into space. Joel used the air lock once to get Timmy off the satellite.
The hexagon shaped hole has always been a part of the bridge, however during the first and second season it was not an airlock but an alternative way into the theater. Joel Robinson has been seen using the hole to get to the theater in a few episodes, including the episode Experiment #206 Ring of Terror.