This is a software thing.
You can enable the hardwarelock on your sd card and depending on the driver (software) you use it looks for the hardwarelook or not. Most software do it, because it is common sense to do so. But it does not mean that it really is protected against a program which really wants to write on your SD card.
Yes you can override this feature by software. I think there might be programs out there which can do this your do program one yourself on block level. (maybe lowlevel)
On other devices you might have a true hardware lock like this:
but must devices do not have such thing. Operating systems enable write protection with user rights or with filesystem rights.
You can also map an encrypted drive readonly via Truecrypt, which needs a password or password file. But this does not protect it from a person having the harddrive in her or his hands and format it.