Another option is to lock the HDD with a password. This prevents anyone except you from accessing the data. Only, if you forget the password, you are SOL as the process to remove that ussually removes the data as well.
With WInXP and Win2k you have pretty good control over what others can see and the complexity of your passwords. Change the administrator name to something else, and then disable the guest account. This will be a start. Next only use a poweruser account except when installing software. Also, enable encryption for your logon. The only people that can view your files then will be the machine admin and you. You can export the encryption public key so that it can't then be access from someone who decides the need it. Keep it on a floppy in a saftey deposit box and then you will be secure.
Good luck