if u have an NTFS partition then do it in the XP way like walking_techie said. it is the best & fast method. You might need to disable the Simple filesharing option for this.
uncheck Tools->Folder Options->View->Use Simple File Sharing.
If u already have an NTFS partition then use that as ur private folder/drive. otherwise format one drive using the NTFS.
Now the softwares u requested. (Some of them (infact most of them) just protects it in the windows OS. so if some one is wise enought they can open it using DOS)
try the website
http://www.fspro.net/hide-folders-xp/
or make search in google with key words folder lock xp , folder hide xp etc. this will definitly bring u results.
Encrypting takes time and thus is not good if u want to store big video files etc. so no EFS.
if u r very particular then use softwares like Steganos Security Suit (try searching google with the same name if u want it). it can create an encrypted drive (without creating the drive physically). everything stored in the disk will be encrypted. so no one can access it.