To lock a folder in windows XP without any software. Follow the steps below.

1.  Make a Folder in C drive rename it as "abc" without quotes.
2.  Now open Command Prompt from Start Menu.

3. Type "attrib +s +h C:\abc" without quotes and press enter.
4. This command will Make your folder invisble and it can not be seen even in hidden files and   folders.
5.  To make it visible again type "attrib -s -h C:\abc"

You can lock any other folder also by changing the location C:\abc to address of your folder.