Just changed 3 locks yesterday myself see www.abs-secure.co.uk and select the video.
Now as has been said you do need the key to unlock the door first I assume it is locked.
Depending on the quality of the lock and if it is the bog standard type you may be able to " bump " it open to find out how google bumping locks.
You need a key that is simillar to the lost one that will go in you put pressure on it as if to unlock and hit the key with a hammer and continue untill it opens.
Then replace with a high quality replacment so it cannot be bumped.
You may be covered on your house insurance for lost keys so check, then they will send a locksmith along, but make sure he replaces the lock with a anti bump and snap type.
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