You can't password particular folders in XP Home, except for enabling privacy on user folders below the Documents and Settings level. Even when the root of C is viewed for the first time, it just displays the screen that is controlled by the "hide operating system files" option (which is in folder options) and this can be over-ridden with one click.
Your best bet is to hide the Program files folder and then disable the viewing of hidden folders (again, in folder options).
But it can only deter, not prevent access. A limited user account would be a good idea.
Hope is on the horizon in the form of Vista, which will offer more sophisticated control and limitations.