While WinXP supports EFS (Encrpted File System), it only works on NTFS volumes, so as soon as you copy the folders & files to CD / DVD the encryption is lost.
You can read-protect individual files - Word, Excel, etc. - but this may be too tedious if you have multiple files.
There are 3rd party tools that can create encrypted folders on CD / DVD, such as
Folder Lock, or
FlashCrypt which is freeware.
Browse the web for others.
SD