The easiest way is to set up a password protected account on the PC. When creating an account, tick the option to make your files private and give your account a password. After this, log on to that account and move the files from the other account to this account that you want to protect. Now, when you boot up your PC, you can go into your new account to access the files or log on to your existing account, which does not access.
The catch with this process is that it does not stop those with good skils from breaking in, as it's the equivalent to putting stuff behind a locked door. For example, it's quite simple for a PC technician to break into files and folders on a password protected Windows account, especially with a few Google searches. However, it will stop most other users who don't know how to use the command prompt.
If you have Windows XP/7 professional, Vista Business or 7/Vista Ultimate, you can encrypt the folders/files as follows: When logged on to the new user account, right-click on a file/folder, click 'Advanced' and tick "Encrypt contents to secure data". If you do this, be sure to back up the encryption certificate/key when requested, as you'll need this if it gets corrupt or someone tries resetting the account password. However, the advantage here is that no one can access the files/folders unless they know your password, assuming you remember to log off or lock the PC each time you leave it.
If you have the Home edition (which lacks the encryption capability), you can encrypt your files by creating a password protected zip file. 7-zip (freeware) can do this. Once installed, right-click on the folder/file, select 7-zip -> Add to Archive. Type a password for the encryption and click 'OK'. Once compressed, you can delete the original file/folder. The drawback here is that if you need to access the content, you must extract it from the archive and if you modify a file, you need to replace the file in the archive.