Here are two ways of doing it, one of them might suit you:
Method 1: Rightclick folder > Properties > Advanced > Encrypt contents to secure data
This way anyone logged in under a different user account cannot access or modify your files (they can still see the file names inside the folder though, but no thumbnails or file contents)... This method can potentially block you from accessing the files if reinstall Windows and forget to backup your encryption keys or whatever, or if for some reason you lose access to your Windows account (lost password, virus, system failure, etc).
Method 2: Rightclick folder > Send to > Compressed (zipped) Folder -- Then doubleclick the compress folder and select Add A Passwrod from the File menu.
This is basically adding a password to a zip archive, but can slow access since it needs to uncompress on the fly with each file access.