(Anyway, you should always tell us your OS and version before asking such OS-specific questions!)

Simple way:
Using NTFS: check the folder's permission so that that only your own account can access.

Intermediate way:
Install 3rd party software the does it for you (lots of such software around...); or
Customize your folder's HTML view: http://www.codeguru.com/Cpp/COM-Tech/shell/article.php/c4517/ (can be easily circumvented by disabling HTML content in Explorer windows); or
If you don't mind the folder be zipped, just zip it, and add a password (as WinXP has built-in zip folder support, you can use it as if it were a folder, though operations will be slower.)

Advanced way:
Hack into registry and hide your folder in the way IE's cache is hidden (may be coupled with some of the previous methods to further protected your folder).