Create a secondary account FOR YOURSELF with all the sensitive information. This will work very well if your primary account is not an administrator account. (If other people are using that account, it shouldn't have admin privilages.) Set permissions to allow secondary access to files created with the primary account.

Here I should emphasize what jan_az was talking about: Switching users in Windows XP is as easy as pressing the Windows key + L. In fact, you can have commonly used documents up and running in one account while working from the other. If you were working on something and need to give up the computer, you don't have to close what you were working on to give someone else access to the workstation, just press Win+L and log in with your primary account. I gurantee this is faster than trying to determe which documents you need to close.

Since anyone can turn off the computer (i.e. by tripping on the power cord), be sure to save the documents you were working on or else you might lose your most recent changes.