How one can lock any of his /her folder by password ?Give steps.

There is no inbuilt Windows option to do this so you would have to go for third-party software. I'm not going to start naming them as there are hunderds some freeware some paid.

However what I would recommend is that instead of locking a single folder you using a program called TrueCrypt and create a TrueCrypt volume, which is a small file called anything you want, and any size you want, that is heavily encrypted. When you want access you run the program, select the file, click mount and type in the password (or use a USB passkey). Much safer and for most purposes almost uncrackable.