If your files are Word or Excel files, you can password protect them individually: Tools - Options - Security.
In Windows XP you can create a compressed (zipped) folder. Rename the default name 'New Compressed (zipped) Folder.zip' to something.zip. You need to keep the extension .zip. Double-click the folder to open it.
Drag or copy the items you want to protect into the compressed folder.
Select File - 'Add a password'. Type the password of your choice in the 'Password' and 'Confirm Password' fields and click OK, then burn the directory to a CD.
If you want more security, have a look at solutions to digitally sign the files using public-key infrastructure (PKI), for example http://www.pgp.com/solutions/pgp_home_office.html.