It's said that everyone's got something to hide, but not everyone needs top-notch encryption to do it. My Lockbox is a free privacy app for Windows XP and Vista that password-protects any folder of your choosing and then, poof!, can make it disappear from view.
The fairly simple interface has you setting up a password, with a hint. Keep it strong and different from your other passwords, or you're leaving yourself vulnerable to a forced lock. Passwords protect both the control panel and the folder path you've decided to conceal from Window Explorer's sights, for obvious reasons. There are a few options, to protect the lock box's integrity while in Safe Mode, and to hide the tray icon that communicates when the lock box is open. There are also a fair number of skins, if you can't stand looking at the app's default metallic grain.
My only major complaint is that the app installs a Start menu icon; not very conducive to establishing an inconspicuous profile.