Microsoft has released a free download for Windows Genuine "Advantage" approved customers called Microsoft Private Folder. Installing this download will give the user one password-protected folder, called "My Private Folder". This folder will be encrypted to allow users to keep files private on otherwise shared computers.

This functionality already exists in an open-source project called TrueCrypt (with a bunch of additional features), but if you'd rather be running Microsoft software, Microsoft Private Folder is now available.