There is a program called Anti-Boss Key which will make some icons on your desktop (of your own choice, and the corresponding folders in My Computer) invisible unless you log in with the right password on the ABK software. It's a pay add-on, but rather inexpensive; could be a solution.
By the way, for those of us who use Windows XP, it's built to be a multi-user system, and it's kind of easy to add and manage personal user accounts on the same machine. To get to the main admin account on an XP machine, press Ctrl-Alt-Del and make sure you press Del twice (at same time as you're pressing down Ctrl and Alt) while the machine is starting up - do this while the ´screen is still black with just the Microsoft Windows logo. From the main admin account it's easy to set up new user accounts that you may protect with passwords, and if you install a program or put a bunch of pictures/videos/documents on this user's "personal folders", they won't be accessible to anyone else. Some of the software you normally use on your main account may never have been installe or figured for the Admin account ar the new acount you set up. so you might have to install them here (e.g. your internet browser or your Word processor might need to be brought in for this account)
Even if your own account has the property "administrator account" it's not necessarily the main admin account (I learnt this from a guy at Microsoft's support when trying to troubleshoot my pc).