Hi Kaz,
I know you'll be using Vista, but this will probably work as it does in XP.
1. Right click the file(s) or folder(s) you want to password protect, and Send To > Compressed (Zipped) Folder
2. Right click the new Zipped folder, and select Explore
3. Select File > Add a Password, then insert and confirm your password.
You will then be left with the original files, plus the new, password protected Zipped folder, so, essentially, what that does is create a secure back up of your original files. All that will do is prevent the files from being opened or altered - it will not prevent them from being deleted!
Does that help?