Afaik, you can't do it without special software.
You may assign permissions to folders. In explorer go to tools -> folder options -> view tab scroll down list and remove the tick from "use simple file sharing" you can then right click the folder and assign permissions for user access. But you need to be using NTFS to assign permissions. However a more secure way of protecting the folder is to use an Ecryption, its there on XP Pro. http://support.microsoft.com/kb/223316/EN-US/