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How to Use Password Protection
Files and folders in compressed folders can be protected by using a
password. To password protect the contents of a compressed folder:
1. Double-click the compressed folder that you want to password protect.
2. On the File menu, click Add a Password.
3. In the Password box, type the password that you want to use. Type the
same password in the Confirm Password box, and then click OK.
Note that when you attempt to move or open a password-protected file, a
Password Needed dialog box appears. Type the correct password in the
Password box, and then click OK.
Troubleshooting
The password for a password-protected compressed file is not recoverable. If
you lose the password, you will be unable to access that file.
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from...
How To Use Compressed (Zipped) Folders in Windows XP
http://support.microsoft.com/kb/306531
The Encrypting File System (EFS) feature is not included in Microsoft
Windows XP Home Edition.
How To Encrypt a Folder in Windows XP
http://support.microsoft.com/kb/308989
How To Encrypt a File in Windows XP
http://support.microsoft.com/kb/307877
Best practices for the Encrypting File System
http://support.microsoft.com/kb/223316