If you have Winzip or other similar compressing programs, just
right click and select Archive or compress or similar, depending on
the program.
If you use 7-zip, it's even easier.
I lazy to install Winrar, Winzip, PowerArchiver to show how. The
steps are longer...
The help files of these applications will show how to do it.
For 7-zip users, just right click the folder and select Add to
archive.
A new window will open.
In the password area, type in your password.
Click OK.