Right click the file you want to password protect, and choose "Send To" --> "Compressed (zipped) Folder.

Double-click the new .zip file, and choose "File" --> "Add a Password..."

Now, when you try to open the file within the .zip container, Windows prompts you for a password.

If you need to encrypt data for policy or security reasons, check with your IT manager before choosing a technique. This method is provided as a simple and casual method of protecting day to day files, and should not be used for things like medical records.