(Anyway, you should always tell us your OS and version before asking such OS-specific questions!)

Simple way:
Using NTFS: check the folder's permission so that that only your own account can access.

Intermediate way:
Install 3rd party software the does it for you (lots of such software around...); or
Customize your folder's HTML view: http://www.codeguru.com/Cpp/COM-Tech/shell/article.php/c4517/ (can be easily circumvented by disabling HTML content in Explorer windows); or
If you don't mind the folder be zipped, just zip it, and add a password (as WinXP has built-in zip folder support, you can use it as if it were a folder, though operations will be slower.)

Advanced way:
Hack into registry and hide your folder in the way IE's cache is hidden (may be coupled with some of the previous methods to further protected your folder).

given that what you want is freeware.

Nevertheless, you may still find some hits by ploughing through Google...
e.g.: http://www.dirfile.com/hide_files_folders.htm

In any case, you can try to look for more hits. There should be some usable freeware out there.