See:
"How to Encrypt a Folder in Windows XP"
(
http://support.microsoft.com/?kbid=308989)
"How to Set, View, Change, or Remove File and Folder Permissions"
(
http://support.microsoft.com/?kbid=308418)
"How to Set, View, Change, or Remove Special Permissions for Files and
Folders" (
http://support.microsoft.com/?kbid=308419)
This will make the data inaccessible from other user profiles than
yours. Alternatively you can use a ZIP program like WinZIP to create
encrypted archives with your files.