there is a simple app called LameSecure you can get from versiontracker. it requires a password, but as the name suggests it is very lame. 😛 for anyone who knows what they're doing with Terminal i think it would be easy to bypass the password. but it's good for keeping stuff from, say, a younger brother. 😀
i'm not sure how you'd do that on a PC, but i guess there would be apps for that as well.
additionally if you want to password protect files you can also make a disk image, and put a password on that. in Jaguar you can use Disk Copy (the app that mounts .dmg files) and in Panther i think you can use Disk Utility. you can make a new disk image that is read & write as well, and you can also change the size of the disk image later on. i've found this to be one of the best ways of putting a password on files.