File compression programs like Zip and Arj and Rar offer password protection options. They're not terribly secure, but they'll slow down anyone who doesn't know about (or can't be bothered with) obtaining a zip-cracker.

Other option: You can right-click on the file, select properties and select security, and set security permissions on the file so that only a given user (ideally, yourself) can access it. That particular trick only works if a) you never copy it to another media or another computer, and b) you never let anyone else operate your computer while it is logged in under your personal user account.

Finally, there are third-party encryption utilities. I wonder if "PGP" will do what you need?