What OS are you on . . . Mac, Windows, Linux ?

For Windows, you can use the free and well known AxCrypt. It does file encryption, but you can encrypt all the files in a folder, and de-crypt them all, all in one operation each way. It's good for small amounts of file encryption, as opposed to whole disk encryption. I use it and it works great.

There is TrueCrypt for heavier duty tasks, but it's been taken out of development, and for just a few files here and there, Axcrypt is easy to use.

axantum.com - AxCrypt

If you use AxCrypt, the easiest way to to highlight all the files of interest, then right click and chose Encrypt. Same thing going the other way.
Don't forget the password as I'm pretty sure the encryption is near unbreakable.

I caution people against using passwords on their personal PCs and files. Other than at sign-on (which I personally don't even use), I've seen too many instances of problems arising. When a password is forgotten or the means used to remember it fails, you're SOL with no means to access the file. Ever. Work PCs, different story, but even with those, the level of paranoia over security is often breathtaking.

If you have files that you think need uber-security, keep them on a thumb drive. Before you go to that trouble, reassess the true risks.

Typically, there are two types of protections. one is lock (not encrypt) your folder so other users couldn't access your files without you password, another is encrypt your folder with password. When the folder is encrypted, it's much safer for transferring via USB drive.