Privace for Files or Folders

I haven't tried this, but looks interesting.
A video, How to password protect and hide files and folders in Windows

Windows XP Folders

Microsoft Windows XP home users

Select the folder you wish to encrypt.
Right-click the folder and click Properties.
Click the Sharing tab.
Check the box Make this folder private
Click Apply and then Ok.
Make this folder private is grayed out

In order for this option to work in Microsoft Windows XP home you must meet the below requirements.

The hard disk drive must be formatted in NTFS and not FAT32 File System.
The folder you're attempting to encrypt must be in your own personal folder.
For example, if your name is bob, you must be encrypting a folder that is or that is contained within the below folder:
C:\Documents and Settings\Bob\

You cannot encrypt any folders outside of this folder. If you wish to encrypt outside this folder see the below other security solutions.