For both XP and Vista you can enable EFS (Encrypted File System). Simply right-click the file or folder (go into its Properties), go into the Advanced area under attributes, and select "encrypt contents...".
This encryption method is embedded into Windows, and uses your Windows user account to encrypt the file/folder. The only way to access it is to be logged in as the user who has it encrypted (or another account which has been designated as a Recovery Agent), and works transparently in the background.
An alternative would be to use a third-party encryption program such as
Truecrypt.