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You will need to make a disk image instead with Disk Utility

Or perhaps use a 3rd party hack

Woof, Woof - Dawg
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I don't think yu can password protect a single file but you can create a sparse Image using Disk Utility.

Here is the instructions: http://support.apple.com/kb/HT1578

Only, don't forget to NOT check store in keychain if you want it to ask for your password everytime.
 
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