While logged in as administrator in Windows, go to Control Panel > User Accounts, and create a new account for each person. You can password protect these accounts.
Log off the administrator, and have each user log into their account. At this point, each user will have their own My Documents folder. The only person able to view all the files is the administrator. The limited accounts can only view their own files and folders.
Now log back into the administrator account, and drag each person's old folder into their new My Documents folder.
And now the folders are password protected.