And remember folks that this only applys for network file sharing.
On Linux you're in a bit of luck! If you are the root user then you can chmod a directory or file so only root can use that file. You can do the same even if you're not root so other users on the system can't see your files but you have to remember that root will be able to view your files no matter what.
Also if you are running Linux and don't want to issue commands to the terminal most window managers including the two most popular ones, Gnome and Kde, both allow you to chmod a file or directory from the file attributes menu.
Jordie you are wrong, the Make this folder private works for multiple accounts on a single (non networked) windows system in the same way as the folder attibutes does on Linux.
In addition to this, another protection method (available only to windows XP/NTFS Users - and not available to Linux users) is file encryption...
right click the folder
selec properties
at the bottom of the General Tab is an advanced button (click it)
check Encrypt contents to secure data.
this (oddly enough) encrypts the data so that no user (other than the account that created it) can access it.
Jordie was right, you can only click make this folder private once it's been checked for network sharing, however the permissons are also set to this private setting when the PC is not networked at all, Its's also a part of the windows XP user sharing