Windows XP does not have a straightforward built-in way to do that, and its
not really the recommended way to approach this anyway.
The best way is to set up user accounts for each person who uses it.... here
are the details:
http://www.microsoft.com/windowsxp/home/using/howto/gettingstarted/sharing/default.asp
(5 pages of info, use the little arrows at the bottom of each page.)
Once you have accounts set up, you can mark your folders as "private" which
will restrict the users who can access them--
http://support.microsoft.com/default.aspx?kbid=304040
Now, I said there is no *straightforward* built-in way. There is a
roundabout solution: create a compressed ("zipped") folder, which allows a
password to be placed on it... Look here:
http://support.microsoft.com/default.aspx?scid=kb;en-us;306531
There are some other third-party (non Microsoft) tools that allow you to
protect folders-- their abilities to stand up to a knowledgeable "hacker"
may vary from trivial to decent, and the price will vary from free to $$$$$
Search for "folder password" on
www.download.com. I can't really recommend
any specific program since I don't use this approach, but maybe someone else
has some insight.