There's no file system support for encryption by default.
You can however, easily make an archive (zip, tar.gz, etc.) with a program like Xarchiver or ark (my favorite), and encrypt the single archive file. Vector Linux has GnuPG for that purpose. I never really used encryption for anything, so I direct you now to the HOWTOs:http://www.gnupg.org/(en)/documentation/howtos.html
(BTW, never use built-in Zip encryption. It's reputedly piss-easy to crack.)