I'd say it depends on the level of security your looking for. For light security I'd say go with a simple program like folder lockit
Folder LockIt Free Download
If your looking for medium security I'd say go with encrypted containers with a program like BestCrypt.
All security products from Jetico: BestCrypt, BCWipe, Jetico Personal Firewall, BCArchive. Download it now.
If your looking for the mother of all security I'd say encrypt your entire OS and your portable hard drive with DriveCrypt PlusPack
SecurStar GmbH
If your just trying to hide some pr0n from your gf, Then options 2 and 3 are probable over kill.