In Windows XP Home, do the following:

1. Select the folder you wish to protect, then press Alt + F, for the file menu, and then, N, for send to, and press enter.
2. By default, the first item in the list, will be compressed zip folder, so you just press enter on that.
3. After the compression is complete, select the new zip folder, and press enter to open it.
4. Inside you will find a folder with the same name as the zip folder, press enter to open it.
5. In this folder, you will see your files, and here is where the password protection comes in.
6. With no files selected, go to the file menu, and arrow to, add a password, and press enter.
7. In the resulting dialogue, follow the prompts to create your password.

Note:
If you add additional files to this folder, it will be necessary to change the password to protect the additional files. This can easily be done by returning to the file menu while you're in the folder, and selecting, remove password, and following the prompts, and then adding a password again as described above. Anyone can open this folder, and view the list of files, but cannot read them without the password. Caution: Even though this folder is password protected, it can still be deleted.