On the Start menu, right-click My Documents, and then click Properties. Click the Sharing tab, and then click to select the Make this folder private so that only I have access to it check box. Click Apply, and then click OK. Note: You cannot make your folders private if your drive is not formatted as NTFS, You Cannot Select the "Make This Folder Private" Option
Home Edition: Set Permissions for Shared Files and Folders. Boot into safe mode and logon to the 'Administrator' account. Right click the folder in question/Sharing and Security/Make Folder Private.
To view the Security tab for a file or folder in XP, hold down the Ctrl key while right-clicking the file or folder, and select Properties. If you are in a domain instead of a workgroup, this approach is unnecessary.
Tip: Hide Files and Folders inside of Windows XPWindows Explorer/Tools/Folder Options/View/Show Hidden Files and Folders. Right click the folder to be hidden/Sharing and Security/General Tab/Hidden/Apply Changes to.../