Afaik, there is no method to password protect the drive/folders w/o using 3rd party s/w!
But u can use
gpedit.msc to protect/hide particular drives from explorer!
Open
gpedit.msc and goto:
User Configuration -> Administrative Templates -> Windows Components -> Windows Explorer
in right-side pane, u'll see two options:
Prevent access to drives from My Computer
Hide these specified drives in My Computer
So u can hide/protect ur desired drives using those options!