I use AxCrypt http://axcrypt.axantum.com/
. It's free, small and effective.
It integrates into Explorer...but it doesn't lock folders per se, but locks the entire contents of a folder if whenever you right click a specific folder and lock it using AxCrypt. So, you can access the folder, but all the files within it are locked, requiring you to unlock files individually when attempting to open them.
You can however, lock and unlock batches of files at once. AxCrypt takes the file, makes an encrypted copy of the original file (labelling it with an AxCrypt file extension), then shreds the original file. You can also remove the encryption from files so that you don't need to enter a password and decrypt it any longer.
Otherwise, if you don't mind paying for one, FolderLock is a very reliable program to use http://www.newsoftwares.net/folderlock/