Or just use the PGP Disk program. It will store an encrypted file on the hard drive that can be mounted and then accessed as if it was a real hard drive. This will provide a very good level of protection from reading, however without other security someone could just delete that file.
Windows 2000 has something called EFS. To use it format the drive as ntfs and then click on the folders/files you want to protect, choose properties -> advanced (button) -> encrypt. Just make sure you backup the key used for encrypting otherwise you will never be able to get the data back if windows dies unexpectedly on you.