This is probably not the answer you are looking for, but you can set the NTFS security preferences on files and folders so that only certain security groups or users can open and access them. While the folder itself is not password protected, the user will have to be logged in with their domain credentials and have the proper permissions.
If the folder is shared, you can also set user access permissions on it. Basically, you will need to disable auto logon to access shared folders. Right click on the shared folder and select Properties. From the Sharing tab, select permissions. Remove Everyone, and add the users/groups you want to have access. With a combination of NTFS and sharing permissions, you can lock down folders fairly tightly.
If you want to add another layer of authentication to that, you'll probably need some sort of third-party solution. Or -- and this isn't very elegant -- you could create secondary user accounts for users and set the share permissions for only those secondary accounts. Users would then be prompted to enter another username and password to access it. But in either case, users will have to remember another set of credentials.