Without a third-party app. There is no way to simply put a password on a folder.
As an alternative, you could put all of the files into a .ZIP with a password, if they are not files which need to work with one another on a regular basis (for example, if it's just media files, like movies or pictures or sounds, then keeping them in the ZIP wont be an issue, because WMP can stream media directly from a ZIP file, if it's a game or other application however, it cannot function while ZIPed). This would also save you a little bit of hard-drive space.
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Problem solved and it hides your porn collection better then a simple password.
As an alternative, you could put all of the files into a .ZIP with a password, if they are not files which need to work with one another on a regular basis (for example, if it's just media files, like movies or pictures or sounds, then keeping them in the ZIP wont be an issue, because WMP can stream media directly from a ZIP file, if it's a game or other application however, it cannot function while ZIPed). This would also save you a little bit of hard-drive space.