I'm unaware of a way to disable a component without implementing it entirely by yourself, but what you could do is display only one component at a time and add an accessory view with a "back" button, so for example, if you were selecting a location, you would show a component with states, and when the user selected a state, you would replace that component with one with city names for that state and add a "back" button for them to backtrack if necessary. That is the cleanest solution I know of for what you want to do.
If you absolutely have to "disable" a component, you will have no choice but to subclass UIPickerView and override the touchesBegan:withEvent and similar methods to basically ignore touches to other components. To "disable" you could lay a gray layer with alpha < 1.0 over the disabled component. I have to warn you this can get ugly and have unforseen and undesirable consequences if not implemented properly. Good luck.