If you were using any of the MS Office products then you would apply password protection to the document from within Word/Excel/PowerPower.
In OS X, Windows too, you can protect your files by setting up permissions on the folder in which they are stored.
Using the "get Info" command, you can assign users Read & Write, Read Only, Write Only(A drop box) or No Access.
More information on this can be found in Finder > Help.
Your last sentence is confusing. Do you intend to share these files across a network, with the XP/Vista boxes connecting to the Mac or are you just going to move the folders/files with a thumbdrive?
Can any tell how to set passwords on files or folders on mac os x.
it also can be still readable on windows xp or vista.