Well, to a computer, *all* CDs are 'data' CDs, except for audio CDs (which don't really have a filesystem per se, they're just raw digital waveform audio). The problem you're going to have is that there are no provisions for any sort of security or encryption in the CD-ROM standards. So anything that tries to add them (like that CD-Lock utility above, or various anti-copying systems) is basically a big hack.
You could certainly encrypt and/or compress your image files and then burn them to a CD, but I don't know of any way to create, say, a password-protected Photo-CD without using third-party software.