Assuming this is 2k or XP pro with NTFS for a file system,Go to the run line and enter gpedit.msc (otherwise stop reading now. 98, ME and 95 dont have this capability)
In the window that opens, navigate to Computer Configuration> Windows Settings >Security Settings > Local Policies> Audit Policy.
Once you are there, in the right hand pane, you will see a setting "Audit object access"
Right click this setting, and select which type of access you would like to audit. You can audit success, failure, or both. Generally you would only want to audit failures (which means someone is trying, but fails to access an object), depending on your situation, you may want to audit success too, but bear in mind success audits can stress the system a tiny bit.
Anyhow, once you set they type of auditing you want to do, close that window.
Now, navigate to any file/folder you want to audit, right click it, select properties, and then the security tab, Advanced Button.
You will see an Auditing Tab. Select the user or group you want to watch, then add them in.
You will see a list of different types of actions (read, write, etc, etc). Just click the types you want to audit.
From now on, if anyone tries to do something to that file/folder that you have decided to watch, an entry will appear in the event log under the security setting. You can see who, what time, what file/folder and what action they attempted.
You can do this for as many files/folders as you like.