Nope, this is not a feature of the operating system. There are various third party programs that offer such, but each one will crumble if you know how to attack them.
Is there a way to password protect particular folders on XP? I have just two Users on my computer, myself and Guest.. I want a password protect a particular folder so that regardless of how I'm logged in, one would have to type in a password to access the contents of a folder. I want to eventually back up the contents of this folder on an external hard drive. Is there a way to password protect the folder on the external drive as well?