Beyond what's mentioned above, Windows7 doesn't really do password protected folders.
If you have multiple user accounts setup, you can choose to add a password to your account, and then you are able to set folders related to your account (My Documents, etc) as private but that's about it.
As somebody else said, you could use a compression program like WinRAR to package the contents of the folder up, and apply a password, but this means you have to unpack the contents each time you want to use them, and delete the folder, remember about any files that were changed, etc. Not particularly satisfactory either.
I would advise getting hold of a free program called TrueCrypt, and using that. It's an excellent and very secure app, and once installed, you'll be able to set it up to automatically decrypt your chosen files and make them visible to use in Windows and vice-versa when you login and logout.
See
www.truecrypt.org for more.
Jim