Using any built in protection on Windows is pretty much a waste of time so the answer to your questiond really depends on what it is you want to protect and how important that information is to you.
One of the best encryption programs available at the moment is TrueCrypt. Its free, available in source-code form (if you want to make sure there are no back doors) and does a very good job of fully protecting partitions (including the system partition if thats what you want). It also allows you to mount encrypted files as pseudo partitions.
What I would do, is install Truecrypt and then use it to generate an encrypted image file somewhere on your hard drive. Usually a couple of Gigabytes is more than enough.
You can then use Truecrypt to mount this image file whenever you want to access any of the hidden/encrypted information. The mounted image file will appear to the PC like another partition (drive letter).
Without the password no one else is going to be accessing the information within the encrypted file.