There are programs that will do this but consider using a "Thumb Drive" for
those sensitive files. To protect the information you just pull the drive
from the USB port, put it in a secure place and the information is
protected. Also, if you need to transport the information, you just take
the drive with you. AND! No password to forget.
Here's another way of protecting information. Store those sensitive files on
your Internet Server. This adds the protection of fire, flood and theft.
And! It will be available for you anyplace in the world.
The software program I've used in the past is MP Crypt but as I remember, it
would password protect all the files in the folder when you password
protected the folder.