this has been asked many many many times, searching does help, but as it stands right now there are a few third party apps that do this, but none all too well... you can password protect a Disk Image though by creating it through Disk Utility in your Utilities folder....
One way, it won't password protect it, but it'll make it to where no one, but you, can access it (except root can access it though) is this:
Hit command+i on the folder,
go to permissions,
change everythings permission to No Access - you can either change your permissions to no access or Drop Box, your choice (the difference is Drop box writes files to the folder, but you can't get inside the folder, the other one means that no access whatsoever is allowed to it),
now after you Change to no access and drop box for you (or whatever), change the group to Nobody then lock the folder back up. This makes it to where no one can access your files until you change the permissions.