How to Encrypt a Folder in Windows XP

Encryption is only support at NTFS file system
Click Start, point to All Programs, point to Accessories, and then click Windows Explorer.
Locate and right-click the folder that you want, and then click Properties.
On the General tab, click Advanced.
Under Compress or Encrypt attributes, select the Encrypt contents to secure data check box, and then click OK.
Click OK.
In the Confirm Attribute Changes dialog box that appears, use one of the following steps:
- If you want to encrypt only the folder, click Apply changes to this folder only, and then click OK.
- If you want to encrypt the existing folder contents along with the folder, click Apply changes to this folder, subfolders and files, and then click OK.