You talk about "my folder" like we should know what folder you're talking about. Are you talking about your home folder or just any new folder?
If the former, you can encrypt the entire home folder using FileVault (System Preferences -> Security -> FileVault), though this is serious overkill for most people. It also makes backups a bit of a problem and can cause all your data to go belly-up, all at once, if there's a hard drive problem.
If you just want to protect any old folder, you can't just put a password on it, but you could replace it with an encrypted disk image. Create a new image in Disk Utility, and make sure the Encryption pop-up is set to something other than None. (Also, in the Image Format pop-up, choose one of the sparse options, which means the image file won't be a fixed size, and will grow as you add stuff to it.) To put files in the disk image, double-click it, enter your password and drag files onto the new "drive" that appears. When you're done, eject the "drive" to lock it down again.
You talk about "my folder" like we should know what folder you're talking about. Are you talking about your home folder or just any new folder?
If the former, you can encrypt the entire home folder using FileVault (System Preferences -> Security -> FileVault), though this is serious overkill for most people. It also makes backups a bit of a problem and can cause all your data to go belly-up, all at once, if there's a hard drive problem.
If you just want to protect any old folder, you can't just put a password on it, but you could replace it with an encrypted disk image. Create a new image in Disk Utility, and make sure the Encryption pop-up is set to something other than None. (Also, in the Image Format pop-up, choose one of the sparse options, which means the image file won't be a fixed size, and will grow as you add stuff to it.) To put files in the disk image, double-click it, enter your password and drag files onto the new "drive" that appears. When you're done, eject the "drive" to lock it down again.