I want to think I've heard of some software you get get that will let you do this, but I can't remember exactly.
Another thing to consider, though, would be to rename the folder by simply putting a period in front of its name, such as ".secretfolder"
then, in the Finder it's considered hidden. you'll never know it's there unless you allow viewing hidden files/folder, or if you manually type in its location to go there. in some cases, that could be just as good, if not better, than password protection