If you run XP Home, no, not really, not anything that actually works anyway. (And the commercial stuff for XP Home is not secure at all.)
If you run XP Professional, it's a built-in feature you can use *if* and only if you set up your computer for multiple users and develop a coherent permissions policy, i.e. not everyone that uses the PC is an admin.
http://www.microsoft.com/windowsxp/using/security/learnmore/accesscontrol.mspxNote that anyone with physical access to your machine can bypass this entirely if they know what they're doing and really want access to those files.
Now, if you were running Linux and encrypted the drive, this would be much easier.
OnEdit: Having said that, you might try asking in the Computer Help and Support group. I base this on prior attempts at trying this and failing completely to set up anything that couldn't be broken by an inquisitive 6 year old, and I don't use Windoze any more. But, it's always possible I missed something.