Okay i will tellyou how to do it using only windows and no other software:
send the files that you wish to be in the password protected folder into a ZIP folder.
then go inside the zip folder, and go into FILE->Add a password.
NOTE: Other people will still be able to open the ZIP folder, just not the files inside. If you want to make it so that no-one can enter the folder, send the zip file into another zip file and password protect the second zip file.