If you're using WinXP home edition,

You're not able to see the security tab as nuxrl pointed out above. Also, your file system should be NTFS. This may be too much for you. On WinXP home, store your files in "My Documents" folder is probably the only simplest way to prevent other users looking into your files. If you're interested, check this link:
http://www.dougknox.com/xp/tips/xp_security_tab.htm