OS X: You can keep all your most private files just a click away when you need them, and keep people from snooping around them while you're not looking, just by creating an encrypted disk image and saving it to your desktop.
Creating an encrypted disk image is extremely quick, very easy, and it can keep your most private files safe from prying eyes while you're away from your computer. When you want to access the files inside the disk image, you simply open it and enter your password. When you're done using the files, eject the disk image just like a CD or USB drive, and it's secured again. Easy as that, your files are safe.
All you need is Disk Utility, which you can find in the Utilities folder, inside your Applications folder. Once open, simply click "New Image". Name your disk image anything you want, and put that name in both the "Save As" and "Name" fields. For the location, we want to put it on your desktop (so it's easy to access on the fly), and we want to give it a big enough size that it won't run out of space any time soon. 500MB is usually good enough.
Leave the format as "Mac OS Extended (Journaled)", since that's the same as the rest of your system already. Now for the part that makes this disk image truly special: For "Encryption", choose the option for "256-bit AES encryption". For "Image Format," choose "sparse disk image".
The 256-bit AES encryption basically ensures that nobody without a hive of supercomputers can break the encryption on your disk image. The "sparse disk image" format-type means that the image won't take up more space on your hard drive than it needs.
When you press "Create", you'll be asked for a password. Make it a good one!
Now, when you want to access the files on the image, you "mount" it by double-clicking on it. You'll see a drive show up, as though you'd just plugged in a USB thumb drive. That's your disk image — be sure to eject it when you're done! Either drag it to the trash bin, or right-click and select "Eject" when you're done using it. You can make as many of these as you want — just remember to never leave them mounted while you're not using them.