Motorheader is right, there is no way you can savely password protect files or folders without some help. There are some tricks to make some folders with special names disappear, but that's more for fun than for security.
There are lots of possible choices on
http://www.tucows.de/security95.html
Especially Folder Guard would seem to be what you're looking for:
http://www.fileflash.com/index.asp?action=info&program=1318
I think there's also a program of the Norton Utilities suite that protects files/folders.
Another VERY easy way to protect data is to use a compression like ZIP, RAR or ACE. All of these offer some kind of protection, and AFAIK the algorithms used are quite good too, the only way to crack them is by guessing brute force, ie trying all possible combinations.
Just compress the files with a passwords (if you care for the extra speed, you can also disable the actual compression). Accessing isn't as comfortable as with uncompressed files, of course.