Microsoft released a product earlier this year called My Private Folder, which provided a password-protected, encrypted foler for each user. However, they quickly withdrew it after complaints from sys admins of companies who said it would prove a support nightmare, because if the users installed it on their work computers and then forgot their password there would no way to recover the data.
I use it and it's a great product, as it integrates nicely into windows explorer. And although it's not officially available anymore, you can still get it from naughty 3rd parties, such as here:
http://www.softpedia.com/get/Security/Lockdown /Microsoft-Private-Folder.shtml