You can set up an encrypted area on HDD or a flash stick using Truecrypt. With a decent password, only secret services with supercomputers would have a chance of cracking it.
Windows and BIOS passwords stop casual access but easily defeated by computer literati.
Make a backup or image backup of HDD before you go and leave at home.
Setup a Dropbox (max 2GB) or similar free cloud account and keep copies of the files you want to work on in there. (you can access from any PC over the internet.
Note that some thieves will steal your laptop from between your legs, beside you or under seat and you won't even notice. (esp. Spain)