If it's just one folder you wan to lock, nothiing beats My Lockbox. It's very simple to use.
I have it enabled for a folder on my C drive and it does not go crazy when I remove that HDD and use the PC sometimes(I have WinXP on F: ). When I re-attach the drive, it hides the folder again.
It's intelligent and unobtrusive. Best part, it's free.
Few others I've Folder Lock, Secure Folder etc. Some are not so easy to use and I believe they're not free.