On one hand, you can protect the content of the folder with the password; on the other, you can hide it and make it invisible to any other user.
Unfortunately, you can only do this with a whole folder, although you can create subfolders within it to be more selective about what you hide.
MySecretFolder XP requests a password the first time you open it. Don't worry if you forget it, it also lets you recover it.
With this program you can also block the Windows registry in case someone should try to access it to unlock the hidden folders.
Shareware version available for 30 days.