I assume you are using Windows, you don't bother to say (you may be using a tablet, a mac computer, a smartphone etc.).
Have you searched the help in Windows for "Password protect a folder"?
When I did a search it said
Q. Can I protect files or folders with a password?
A. No, you can't use a password to protect files and folders in Windows. However, some programs that run on Windows allow you to protect individual files with a password. For more information, check the Help for the program you're using.
There are other ways to protect your files and folders in Windows. You can encrypt your files using Encrypting File System (EFS), manually specify who can access the folders or files by setting permissions, or hide them. Choose your method based on how secure the folders or files need to be.
Encrypting is the most secure, while hiding the folders is the least secure.