yeah windows has it built it but the only way i know how to do it is.
say u have 3 files in my documents u would like to password protect.
right click a blank space in my documents
click new then compressed folder
go back to my documents
and high the 3 files u would like to password protect
drag them into the new compressed folder
open the compressed folder
click file in the top left
click add password
and put your password in there
and in the confirm box and hit ok
hope that helps
there are more ways to password protect your files
for instance :
office 2007 has password protection built in ..... not sure bout 2003 ?
3rd part software can also do it the 1 i use is power ISO its not really ment for that purpose i have it as an image software but works great to protect files ?
hope i helped if you need anything else post here again