There are a large variety of reasons why you'd want to password protect a file or set of files. Some legit and some downright nefarious. I believe it's not really my place to make that distinction for others but I was asked to explain how to do this easily and so I've written this instructable to answer these questions. Please note that no "security measures" are truly secure and if you write something with a computer, there's nothing you can do to protect it that someone else smarter than you (or using tools developed by someone smarter than you (curse you script kiddies!!!)) can't undo. The advice "don't get caught" can only go so far and so I recommend being very selective about what you save and assume is safe.
I don't mean to plug for any company in particular and I'm sure there are many other vendors who have products that can do the same things but WinRar can do everything I want regarding archives and that's really all I need . . . So step one is to go to WinRar's website, download their latest version, and install it on your machine.