If it's like w2k, just right click the folder, select advanced properties, and there should be a check box for encrypted.
It's encrypted agaisnt your logon password, and the administrators password. It can get tricky deleteing certificates to ensure the data is completely unrecoverable without your logon password. Either make sure the administrator account is secure and the encrypting account is secure.
pgp disk is probally better then windows, god knows how many back doors the us gov had them put in... or put in without ms nknowing..