You will need to use a Archive Program. I would suggest 7z Zip. Which you can download here(http://sourceforge.net/project/downloading)
Step 1: Create the Folder
After downloading and installing it reboot. Now put all the documents you want to protect into one folder.
Step 2: Creating the Archive
Now right click on the folder. Now select the "7z" option. Next click "Add to Archive". Now a window will pop-up. Now enter you password under the encryption area. Then click OK. Now you delete the other folder with the original files. Now in order to open, read, or edit them you will need to enter you password.