You could use DirLock (http://www.softpedia.com/get/Security/Lockdown/dirLock.shtml). It doesn't prompt you for a password when you try to open the folder, but it doesn't let anybody in. After you install it, you just right click the folder and click "Lock/UnLock" and it will give an access denied error when someone tries to open it.
or if you have xp media centre/pro theres a security tab (needs to be activated in folder options) which lets you choose who can access a folder and what not