Zip is an opensource program to compress multiple documents to one file and gives you the ability to encrypt (password protect) the folder.
To password protect files:
First right click on your folder and select 'Add to archive...'
A properties box will appear, the top bar is where the zip folder will be saved upon creation, you can select the '...' button to browse to a destination, you can also give the zip file a relevant name
Make sure the 'Archive format' is 'zip' and 'Encryption Method' is 'ZipCrypto'
Then enter a password of your choice in the bottom right
Then select 'OK' to create the zip folder
To then view or extract the files from the zip folder it will need the password