If you are running XP and you have set up separate accounts, each with there own password, and you do not want other account holders to access a folder, then right click the folder, select sharing and security and then on the sharing tab tick the box marked Make this folder Private, this will prevent other account holders getting access.
If there are certain files you wish other account holders to see, then double click my computer and you will see a folder marked Shared Documents, which can be seen by all account holders, so just copy the files you want others to see to this folder.
Hope this helps.