Step-1: Create a new folder (Right-click -> New -> Folder) and give it any name of your choice. For instance I name it as ABC.
Step-2: Now in this folder place all the important files, documents or any folders that you want to password protect.
Step-3: Now Right-click on this folder (ABC) and select the option Send To -> Compressed (zipped) Folder.
Step-4: Now a new compressed zipped folder gets created next this folder (ABC) with the same name.
Step-5: Double-click on this compressed zipped folder and you should see your original folder (ABC) here.
Step-6: Now goto the File menu and select the option Add a password.
ie: File -> Add a password
Now a small window will pop up and here you can set your desired password. Once the password is set, the folder will ask for the password every time it is opened. Thus you have now created the password protected folder.