Unfortunately Microsoft did not integrate an option to password protect specific folders with sensitive data. There are many third-party tools that can help you to password protect your folders. Because there are many tools you can choose from, I searched and selected 5 best tools which will help you.
Folder Protector (Free & Commercial)
Folder Protector can lock any folder you want, also it does encrypt the folders, which means that the data from the folder will be almost impossible to get without password. The tool is very easy to use, from the program select the folder you want to protect, enter the password and press Protect.
To have a good experience, the developers released a complete guide which will help you to experience all features of Folder Protector. See the guide here.
Download link: Kakasoft Folder Protector
LocK-A-FoLdeR is the perfect free solution to password protect your folders. The program interface is minimal and easy to use. LocK-A-FoLdeR instead of protecting the folder, it does hide the folder. To make folder to appear you will have to open the program using a password.
Download link: LocK-A-FoLdeR
Folder Lock Lite (Commercial)
Folder Lock Lite is a program which lets you to protect your folder and even entire drives. The program is very simple to use, what you have to do is to set your master password, after setting the master password what you have to do is just to drag and drop the folder you need in the program. The folder also will be hidden from the computer. You can use Folder Lock Lite trial version for 30 days.
Download link: Folder Lock Lite
Protected Folder (Commercial)
Protected Folder has a simple and easy to use interface, you will need to set a master password and add a folder that you want to protect, or drag and drop it. A good option for folder security is that the program can’t be unistalled without providing the master password.
Download link: Protected Folder
Folder Guard (Commercial)
With Folder Guard you can protect files and folders using individual passwords for each folder. The program is easy and simple to use, you can just use drag and drop to protect your folders. A really good feature is that you can create filters for specific files that will be automatically protected. Also the program allows you to give different accesses for different computer users. You can download 30 days trial version of the program.
Download link: Folder Guard
Final Note: All these programs are easy to use, some of them have more options, other fewer. I would recommend you to have installed only one program at a time, because there can be a conflict between two ore more password protect programs at the same time.
If you know a good program to password protect your folders, please do no hesitate to add the in the comments.