|You need some third-party software to do that, but beware you don't forget the password or the software is unreliable or you will lose all access to that folder!|
Just type folder password into Google Search and you'll get plenty of them to choose from.
Some are free, some are not. Generally speaking, the ones that are not free will be more reliable and sophisticated (ie difficult to crack).
Not free: http://folder-password-expert.com/
Not free: http://www.iobit.com/password-prote...
A better approach in my view is to assign a password to your Windows user account, then create a new user account (without a password) for everyone else to use (give that account any name you like). Those who use that account will not be able to access your files, and they can't log-in to your account because they don't know your password.