Compress the folder that you want to protect using the windows default zip software.
You follow the following procedure:-
Right click on folder that you want to protect, click on send to compressed (zipped) folder.

Open the compressed (zipped) folder, right click anywhere in the blank space.
Click on add a password, type the password to protect the compressed folder


You can also choose to use third party software to protect your folders.
Some of the third party folder protection software in the market include:-
FILE LOCK, AXCRPT, ENCRYT4ALL