I am using a Nikon D200. When using flash I can't raise the shutter speed any higher than 1/250. It seems to be locked there and I don't know how unlock it. Please help.

That's entirely correct. 1/250th is the fastest shutter speed you can use when using flash. Many other cameras can still only use 1/60th or 1/125. It's all to do with the two curtain nature of an SLR shutter: when you release the shutter, one curtain withdraws across the frame to expose and then a second one follows behind to shut off the light source. For exposures of 1/250 or slower on your camera, the second curtain does not start to travel across until the first one has fully opened, so you have a fully open exposure frame allowing the flash to reach every part of the sensor. At faster speeds, the second curtain sets off before the first one has finished and at the highest speeds it's so close behind the first that only a narrow **** is open to the incoming light as the shutter curtains pass across the sensor. If you fire the flash at these speeds the shadow of the first or second (or both) curtains will appear on the sensor and the picture will look like a narrow horizontal band, or if using fill in flash, it will look like a bright band across the picture.

It's immaterial though as the normal exposure rules don't apply with flash: the flash duration is typically anywhere from 1/4000th to 1/50000th and in that exposure time it outputs sufficient light onto the subject to enable a photo to be captured. As the flash is the dominant light source, the ambient light captured when the shutter is open for 1/250th is insignificant unless you're making a daylight exposure and using the flash for fill in purposes.

There are some specialist SLR and flash combos which will allow the full range of shutter speeds, but they do so by firing the flash multiple times very rapidly to ensure that there is flash light present effectively continuously as the narrow exposure **** passes across the sensor.

Compact cameras have shutters which work differently and which fully expose the sensor at all shutter speeds, so in that respect they can have a far more flexible flash exposure system. Unfortunately, they ruin it by having pathetically weak built-in flashes which are only good for very short distances.