1. If you have more than three of the same TV show it will automatically give them a playlist/folder, so if you are really desperate, you could always label all the videos you want in a certain folder as being the same TV show in the info window.
2. Which files? You can lock certain parts/functions of your iPod with a passcode (Settings>General>Restrictions), or you could download one of the many apps that provide locksafe functionality for files such as
Lockbox.