In XP Pro, you can encrypt folders so that other users cannot view the contents when they login.
However, if you simply want to password protect a file so that you and anybody else is required to enter it to open/execute it, then there are a few options:
1) You could compress the file using Windows compression (or WinRAR or others) and add a password to the compressed file within the compression utility.
2) You could try
http://www.axantum.com/AxCrypt/ I have not tried it myself but have seen recommendations.