Send them to me, I'll protect them for you... :thumb:
Seriously though:
If you're on Windows XP and have your own password-protected account, all you have to do is:
Right click
Properties
Sharing
and make sure the Make This Folder Private box is checked.
If you're not on XP, or you don't have your own password-protected account, you'll have to use software such as
Magic Folders, which has a 30-day free trial.
Alternatively, what you could do is archive them using WinZIP or WinRAR and then password protect the archive, but that's not going to be very practical if you need to access them regularly.