This is a more important question than you might think. It's not just about hiding your naked Tomb Raider jpgs.
As a school governor, I sometimes have confidential documents on my computer. Legally, I'm responsible for not allowing other people to have access, even accidentally, to these documents without reasonable cause.
My father is a doctor, and he also has to be careful about patient files and client confidentiality.
There is also the UK Data Protection Act, which means if you have a mailing list or any list of people's names/addresses/contact bumbers, that you have collected (with their permission), and it's stored on your computer, then you can't let a third party see it.
I don't think it applies to your personal Address Book, but it might apply to the memberlist of a Yahoo group or Google group that you set up, where subscribers don;t see each other's addresses, but you hold the master list.
As mentioned, a password protected Zip file, or disk image will work, or backing up to an external and deleting the original. …