1)Right click on the file for which u want the password to b put.
2)Click on "Add to Archive".
3)Then go to Advanced tab.
4)Click on set password...choose ny passwd.
5)Click ok.
6)A winrar file with ur filename will be created.
7)Next u may delete the original file,as u have now compressed it with a password.
8)Any1 tryin to open the rar file wont be able to,unless he knows the passwd.