When transferring large computer files by physical media such as USB sticks or memory cards, some level of confidentiality can be maintained by password protecting sensitive files. The password needed to unlock the files can be distributed by email to those that need it.
There are many password cracking programs that will unlock MS Word or .pdf formatted documents, so this level of security is only useful against casual loss. Any directed attempt at reading the encrypted files by someone who knows a bit about computers will succeed in accessing them.
Sending files as an email attachment is generally the most secure method for transferring data available to most people and has the advantage of being quick and relatively easy to accomplish with the minimum of effort.
Most email programs restrict document attachment sizes to below 5Mb.