Only if it is a Zipfolder. See Windows Help and Support. (look up
"folder with a password")

   Like WinNT and Win2K before it, WinXP's file security paradigm
doesn't rely on, or allow, the cumbersome method of password protection
for individual applications, files, or folders.  Instead, it uses the
superior method of explicitly assigning file/folder permissions to
individual users and/or groups.

HOW TO Create and Configure User Accounts in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;279783

HOW TO Set, View, Change, or Remove File and Folder Permissions
http://support.microsoft.com/default.aspx?scid=kb;en-us;q308418

HOW TO Set, View, Change, or Remove Special Permissions for Files and
Folders
http://support.microsoft.com/default.aspx?scid=kb;[LN];Q308419

 HOW TO Set the My Documents Folder as Private in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;298399

    Of course, if you have WinXP Pro, you can encrypt the desired
files/folders.

Best Practices for Encrypting File System
http://support.microsoft.com/default.aspx?scid=kb;en-us;223316

    As a crude work-around, you can place the file in a compressed
folder, and set a password to uncompress the folder to view/access its
contents.  Also, some applications allow the user to password-protect
their specific data files.  Read the specific application's Help files
for further information on this capability.

    Not in any significant manner, no.