Ok, first things first, in XP you can only password protect folders (with windows, cause you can use third party software) with a NTFS formatted hard drive, assuming you have one then your first thing is to password protect your user account (Windows uses the same password for the user account as it does for the folder password). Next, you right-click the forder you want protected, Goto Properties, Goto the provacy tab, then Tick the box that says "Make this folder private". This way will only let you open it, if any other user tries then they'll need the password.
If the computer isn't allowed a password on it (parents, suspisious girfiend/boyfriend) , or you simply don't want one there are two thing you can do If you create a new Zip file with windows (Right-click->New->ZIP. file) you can again, make it password protected by using the privacy tab, but, this way doesn't require you to have a password on the user account, and everytime you access the ZIP it needs a password. The other thing you can do is use third party software like Lock folder XP (http://www.everstrike.com/lock_folder.htm).
Side notes: The ZIP file and most third party software DO NOT require you to have a NTFS formatted hard drive.
To convert from FAT32 to NTFS without losing any data go Here (http://www.aumha.org/win5/a/ntfscvt.php)
To check what format your disk is, goto My Computer > Right click ur hard drive > Properties about a third down the box will be "File System" and next to that will be your format
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