Microsoft has eliminated that possibility so that no one will feel that
it is enough to protect the mail, when anyone who can read your files
can see any mail that has already come in.
They expect you to create a Vista user account with a password,
log into that account before you start Windows Mail, and log out\
when you leave the machine.
You can't do that, but you can put a password on your Vista login account.
Log out or lock the computer when you go away.
If other people use your computer, create an account for them.