What are you trying to accomplish by password protecting the folder? If the goal is to protect files on your laptop in case it is stolen, then encryption is the way to go. In XP you would right-click on the folder, select properties, go to the "General" tab, click "Advanced..." and select encrypt contents.

Then the contents of the file or folder can only be read by someone logged in to the computer with your identity. However, you would not need to type your login and password every time you log in.

If the objective is to password protect a folder so that other users can access it as well using the same password, then I have no idea how to do it.