jdd: the simple way? Create more users (for the rest of the people that use your computer), then password-protect your user, then put all your files in a folder that is restricted to only your user. I think that all folders inside c:\doc and settings\USER\* are restricted to that user. I'm not sure, though.
Still, I stand by the previous advices, nothing can beat encryption. This method I mentioned can easily be bypassed with a linux live cd (which ignores the owners of the folders).