If your using XP pro then ya can encrypt them. To do this put all the files you wanna protect in a folder, then
1. Select the folder you wish to encrypt.
2. Right-click the folder and click Properties.
3. Click the Advanced button.
4. Check "Encrypt contents to secure data" option.
5. Click Ok.
If you want to set a password for each file, then i think ya will need a third party program like this
Or ya could do what i do and use ZIP disks, which require a password to access the disk.