1)Right click on the file for which u want the password to b put.
2)Click on "Add to Archive".
3)Then go to Advanced tab.
4)Click on set password...choose ny passwd.
5)Click ok.
6)A winrar file with ur filename will be created.
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Also, if you want the password prompt to take place before the window opens, means if you want the user to be not able to c the filenames without entering a password, in the password option window, choose encrypt filenames