Win 2k and XP (Pro, .NET, NOT Home) have NTFS 5, which lets you both compress files and encrypt files (though you can't have encrypted, compressed files -- either one or the other). They are not just password protected, they're encrypted.
Neat eh?
http://www.google.co.nz/search?q=NTFS+encryption&ie=UTF-8&oe=UTF-8&hl=en 
