In Windows XP you can right-click the folder and select 'properties." Go under the "sharing" tab and click "make this folder private." That will ensure tht the files inside can only be accessed by you. (Note that by default in XP, all files in the My Documents folder are restricted to access by computer administrators.) However you didn't mention what OS you have, so this may or may not help.
On CDs/DVDs, you have a couple of options. First, using Windows, you could place all of your files in a compressed folder, then password protect it. If you want to hide the file names (not just prevent the opening of the files), you'll have to place the compressed folder inside another compressed folder with a password.
Another option is to purchase an encryption utility, which will encrypt all of the files you transfer to the CD/DVD. Some will require you to encrypt each individual file prior to transfer, but depending on your CD/DVD burner and software (you didn't mention what you use), some software will let you just drag the file to the CD/DVD and automatically encrypt it with the rest.
The best method of protection, however, is to place the CDs in either a hidden location or a small safe...protecting them both from prying eyes and theft/damage.
Hope this helps,
Sidhartha(sid003)
P.S. Note: If you're asking for technical help, please be sure to include all your system info, including operating system, model number, and any other specifics related to the problem.