How can you password protect a folder on your desktop?

I'm assuming you're using Windows 2000 or higher. Unless you are the sole administrator of your machine and the only person that logs into that account and sees that profile, you can't. There is 3rd party software out there that will do it for you, but it's not inherently possible. The best way would be to make sure that you're the sole administrator and don't let anyone else log in as you. That way they can't see anything in your profile (which includes your desktop).