Well, a lot of suggestions have been made. You can make use of in-built Windows security, making use of ownership and permissions to accomplish the fact, but that depends on using the in-built strategies, including use of the NTFS file format, to prevent other users from gaining access. But, unless you are the sole Administrator, ultimately at least one other person (the Administrator) will have the potential to access the folder. By definition, anyone logged in under your user profile has your permissions. If I understand you, to accomplish it the way you want to, so that another person on the machine under your personal login has no access to the folder, I suspect you'll have to encrypt or archive by some third party methodology, because that would be the only means of securing the folder and its contents as a password-protected entity. I can assure you that PGP would be one of the more powerful solutions, if you need real security.
Perhaps you could explain what you wish to do and why in a more thorough and precise way. Armed with more information, maybe someone will have a bright idea. I can't think of any way to accomplish what I think you wish to accomplish.
Regards,
Jim