PST" files, which can be password-protected: people will still be able to open the program, but will only see a prompt (screenshot below). Because PST encryption is crack-able by a determined hacker, consider using drive encryption for sensitive data, and always locking your PC (Windows logo key + L), when you step away from your computer.
Note: Microsoft doesn't provide a password recovery mechanism, so be sure never to forget that password! This tutorial will also show you how to add a password hint.
Tip: use the "Comment" text box to give yourself a password hint - make it easy enough to help you, but hard enough to prevent others from guessing it!