For more advanced security, consider a program that allows you to encrypt an entire partition of your hard drive, such as TrueCrypt. Programs like TrueCrypt, besides offering routine file and folder protection, offer the ability to encrypt data on a virtual drive. This concept will be familiar to those of you who've used virtual DVD drives to run programs that normally require a disk in the DVD-ROM. The virtual drive is partitioned off and then encrypted by the program, making it nearly impossible to gain access to the data unless the viritual drive is mounted. This sort of protection also makes your files very resilient to be copied or deleted, because without knowing the password required to unencrypt and mount the drive, nearly any effort to modify the partition is going to fail.
And, if you happen to actually be a spy, then you'll be happy to know that the functionality of programs like TrueCrypt doesn't end there. TrueCrypt can not only create encrypted virtual disks, but it can create encrypted, hidden virtual disks, which are theoretically impossible to detect should you be forced to hand over your password, or your password be discovered. This is a complex process, and it is detailed by TrueCrypt's documentation.
Finally, TrueCrypt and similar programs offer the ability to run an encrypted operating system from the encrypted virtual disk. Encryption of files used by the operating system occurs on the fly. This means that not only are your files protected, but your usage patterns are as well. Temporary files used by most operating systems can unveil how you use your PC, which files are most commonly opened, and which applications you have recently used. With an encrypted OS, none of this information is available.
Most of this functionality is well beyond what the normal user will need, but if you have sensitive data, this protection is about as good as it gets.