Search the download.com website for password protection programs, you will find some programs that do this, but they play a little bit with the file system, so use them with carem, as you might lose the passworded data completely if you forgot the password.
Some programs just create a small partition which you specify it's size, it's something like splitting a current partition to 2, in which one of them contains the data you wish to protect. The secure partition will not be accessible unless the program is running in the windows processes, and you type the correct password.
Anyway, you will find many programs on the internet that can do the job, but try them first on some data that you don't want before choosing one to use.