If you are using the NTFS file system as opposed to FAT32, you can compress
the folder and password protect it though the preferred way would be to set
user rights so you are the only user with access to the folder.
If you're not sure which file system you are using, right click the drive in
Windows Explorer, select Properties, the general tab shows the file system
being used.
With regard to setting access rights to files and folders, you must first
turn off Simple File Sharing. In Windows Explorer, go to Tools, select
Folder Options, go to the Advanced tab, scroll to the bottom and remove the
check from "Use Simple File Sharing," click apply and ok. Then, you can
right click files and folders and set access rights for various users.
