Hi Michelle,
I think you can only password protect zipped folders, so first, right click the folder you want to protect, then Send To > Compressed (zipped) Folder. Then you need to click on the now zipped folder, but don't Extract, click File > Add a password. It should be fairly straightforward from then on.
Of course, this will then leave the original unzipped folder unprotected, so you can either delete that, or move it to a separate back up directory.