C.D.
my sister had that problem. Her 3yo DS walked out of an apt, down a busy street, and to a gas station. A police officer found him and he told them where he lived. The officer took him home only to find my sister's now ex sleeping. He was suppost to wake up enought to lock the very high lock on the door but chose not to.
my DD is 27mo and is not afraid either. She loves people and doesn't understand what can happen. I watch her like a hawk at other people's houses and at home I have extra locks and have put the baby proof handles on the doors I don't want her to open. You might want to buy a couple extra baby proof handles (the plastic things you have to squeeze to open doors) but buy both kinds for round handles and for the lever doors.
keep explaining that something can happen to him and he might listen one day. At least that's what I hope will happen with my DD.