I'm pretty sure this works the same on 10.3.9 as it does on Tiger:
Open Applications->Utilities->Disk Utility.
Click on the New Image icon.
Name the file whatever you want, make it as big as you'll need for your sensitive info, set the Encryption to AES-128, and keep the format at the default type.
When you hit "Create", it'll ask you for a password. Enter it but uncheck the "Remember password" checkbox.
Now you have an encrypted disk image (*.dmg). Double-click to open it, supply the password, and add/remove files to the disk that appears on your Desktop as you wish. When done, "eject" it (the "disk", not the dmg file), and your info is safe. However, your non-secret home files are not encrypted and are less likely to be lost than with FileVault.
FileVault is a good concept but not a good idea to use. One bad bit and you could lose everything.