During a conversation today, a colleague of mine pointed out something that I didn't know: A Compressed Folder in Windows XP can be protected with a password. Like many of you, I've been using XP for years, and yet I somehow missed this. Therefore, I'm going to write it down!
You can read all about it in How To Use Compressed (Zipped) Folders in Windows XP. Check out the section entitled "How to Use Password Protection".
I've been using Vista for over a year now, so I immediately tried this there. Interestingly, I couldn't find a way to do it. You can encrypt the Compressed Folder, but you can't simply password-protect it. Of course, encryption is much more secure, and Vista emphasizes security. Still, it's good to know.