You can create an encrypted (password-protected) disk image and copy your files to there.
To do that:
Open Disk Utility, and click the New Image button in the toolbar.
A dialog will appear where you can choose a name, size, and encryption setting for your disk image.
After clicking Create and choosing a password, the image will automatically mount, and you can copy whatever files/folders you want.
Keep in mind you can only copy files/folders to the disk image. You should delete the originals to keep them safe (now that they're in the disk image). This is really the only way of password-protecting a folder (there might be an app available but none that I know of).