They're telling you to encrypt because they're assuming that you want to protect the data from unauthorized access. A password with no prtection is like putting a Do Not Enter sign on an unlocked door; it only keeps out the sort of people who wouldn't enter without asking in the first place.
Now, if what you want is to keep your technilogically illiterate grandmother from accidently stumbling across your pr0n, then a password is good enough. Otherwise, you probably want to look at encryption.
There are applications that will let you do either one, such as Espionage2 (who actually include the Grandma scenario in their sales pitch...but not the pr0n) and Knox. But they do cost money. Or, there's the methods referred to by the other posters. Surprisingly (or not) just plain old password protection without encryption isn't that common; it's actually hard to come by.
And finally, unless the password protection is actually provided by the application making the file (as with some Microsoft Office products) you will have to password protect the folder in which you put the file. You can't just add passwords to random files.