no but if you allow lets say Joe, Mike, and Paul access and give them accounts on your computer (assuming your not using AD) then when they connect they will have to provide a password initially. If you have Mike and Jim sharing a computer and you dont want Jim to see the stuff because he's a shady bastard then you need to make sure that Jim has his own login for that computer. The first time someone authenticates it will cache the password and wont ask them for it again for a while.
But to have a folder that prompts for a password everytime kind of like a password protected EXCEL sheet isnt possible, at least to my knowledge... there might be some cooky software out there who knows.