i use "folder guard xp" but its a trialware for 30 days... if u want it u can purchase it.
on double clicking the folder it gives an option for entering password and after coming out of the folder u can lock it again on a right click option.
Drwback: Doesnt encrypt the contents, so one can access if the system has dual boot or linux live cd.
Advntage: In case u forgot the password u can still access the data and retrieve it.