If you have XP Home, you can compress the file and password protect it.
If you have XP Pro you can encrypt it.
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-the small one
All postings carry no guarantee or warranty, expressed or implied.
Proceed at your own risk, and perform system and data backups prior to
making changes to your system, and on a regular basis, to protect your
system.
You will need a third-party utility to do that. However, if your folder
resides on a partition that has been formatted with NTFS, and Simple
File sharing has been turned off, and (I think) you are running Pro
instead of home, then you can deny access to that folder to anyone
except someone logged on in your username.
Use Password Protect; the program is integrated with Windows Explorer so you can lock folders from the right-click menu: http://www.password-protect-software.com