I just found an answer from www.ehow.com, you can have a try with it.
1. Click the Windows "Start" button and select "Computer." Double-click the drive letter where your folder is located, which is typically the "C" drive. Double-click each directory until you open the directory that contains the folder you want to password-protect.
2. Right-click the folder you want to password-protect and select "Properties" from the pop-up menu. Click the "General" tab to view the file's information; click the "Advanced" button to view other options, including encryption.
3.Click the option labeled "Encrypt contents to secure data." Click "OK" to encrypt and password-protect the folder. The password applied to the folder is the password used to access your Windows account. Users must type your username and password before accessing the encrypted folder.
4. Double-click the file after you encrypt it to ensure that you can open it. To check the security, log out of Windows and log in with a different username. Note that when you double-click the file, a window opens asking for the username and password to access the folder.
Read more: How to Add a Password to a Folder in Windows 7 | eHow.com http://www.ehow.com/how_8173878_add-password-folder-windows-7.html#ixzz1wyeiBNjN