You could set it so that only your profile is allowed to view the contents of the folder, but that's not exactly what you're wanting. I've used a program called SafeHouse, which will encrypt anything that you like. It's not free, but you didn't specify if it has to be free.
I do it this way,I put what I want private in a zipped folder.Dunno if this is what your after.
To protect files in a zipped compressed folder with a password:-
1.Open My Computer, and then locate the compressed folder.
2.Double-click the compressed folder.
3.On the File menu, click Add a Password.
4.In the Password box, type a password.
5.In the Confirm Password box, type the password again.