If you only have one user account on your computer like I do, I use a
program called TrueCrypt. It's totally free.
What I would do is save all your files in one location, like c:\down for
example. You will need to read up on how to use TrueCrypt, but basically you
can create a encrypted container that's password protected. It behaves just
like normal file folders do, you can copy and delete files, etc.
The only difference is that when you want to use the files you will need to
open TrueCrypt and mount the container. You click mount, select your
container (which would probably be in c:\down if we're using the example I
gave above), and input your password. It'll assign that as a drive on your
computer, so you can find it in My Computer. Then you can access it as you
normally would.
Before you sign off your computer you will dismount the drive.
I actually have a whole external 120GB hard drive encrypted so nobody can
get in or use my files when I'm not there. It's nothing that important..
just mp3's, pictures, random stuff, but I don't need anybody touching or
deleting my stuff.