There are some programs to encrypt files. Passwording a folder is an Operating System function and I've never seen an add-on for it.
You can search google for the file encrypters. I was not impressed. They are too cumbersome to use unless you buy the high dollar ones.
If you just want it protected while you aren't using it compress it with winzip and add a password.
Don't bother using the MS Product (Word, Excel) Password Protection. I had to recover a lost password for a friend and it took me a total of 20 minutes to find a brute force cracker on the web and break the protection using this machine. He had used an 8 character alphanumeric password (fairly strong). Using punctuation in the password would have slowed breaking it down some...
And remember. The rules for commercial encryption are that no system is allowed that can not be conveniently (meaning damn near real time) broken by the government.