When the Canadian Border Agent decided to search my business laptop they used the "Search for Files and Folders" in Windows XP and specifically targeted any type of media files (jpg, gif, mpg, avi, etc.) and randomly opened whatever the search window returned. At the same time, they also confiscated my personal backup CDs of legitimate computer software I owned that was in my CD case. YMMV.

People may want to look at http://www.TrueCrypt.org for a very good *free* file encryption software package.