I'm sure it works on the Pro version, not sure about Home Edition.
Right-click the file(s)/folder(s) you want to protect and prompt for *properties*.
Click the *Advanced* button on the General Tab to open a new window with some other options.
Check the *Encrypt (...)* flag and click OK. Close properties.
File encryption makes files/folders readable only to the owner who encrypted the data. No other can open, modify or delete the file unless he's logged with your user account.
Be careful with encrypted files though, keep always a backup copy.
NTFS permission in XP work just the same way as in 2k.
Other users can take ownership of you files only if they have *full control* permission (applied to a single user account or to the *everyone* group). Simply remove the *full control* permission to other users and they won't be able to take ownership (do not DENY full control to the everyone group as it may affect your own user account also).
Anyway if a file is encrypted others may also take full control of the file (but it should be denied by the system), but will not be able to execute it in anyway.