Well, if you're using Windows 2000, XP, or Vista then you can change the permissions of the folder (or file) in question to prevent other users from accessing it. Additionally, if your drive is formatted with NTFS then you can take advantage of the built-in encryption features.
There's also various ways of obfuscating a file or folder (that is, making it look like something else like the Recycle Bin, see http://www.bleepingcomputer.com/forums/t/105698/hide-sensitive-files-in-a-recycle-bin-decoy/
Or hiding files inside an image file as detailed here: http://txpress.blogspot.com/2007/05/hide-f...ide-images.html
Note: Obfuscation will only protect files from regular users who aren't looking for your files. People like the government, police, and those familiar with such techniques aren't going to be fooled.
If you're really paranoid, take a look at Truecrypt