You may encrypt your files using freeware and shareware software:
How to protect your folders and files by encrypting
Video Padlock - encrypt your videos and play them back instantly

You may lock your folders without any encryption using freeware and shareware software:
How to hide folders without encrypting

You may use methods of weak protection, that don't require any software:
How to hide folders in Windows by disguising them as virtual folders (free method)
How to hide a folder without any software by renaming and changing icon (free method)
How to hide folders by making them hidden and system (very weak)


Every method has its advantages and disadvantages. For hiding hide my adult/porn/sex/XXX from my kids/parents it is probably better to hide folders without any encryption. This method of protection is weak, but it should be enough for your task. You may also try to encrypt files. For large files oartia encryption with Video Padlock might be a good solution for you.