TrueCrypt is a free open-source disk encryption software for Windows 2000 thru 2003 (and this indeed includes XP). You can create virtual disks, which, as the application name implies, are encrypted: mount with the correct password - you magically see another volume. Don't have the right password? Enjoy looking at gibberish. A recommended application for laptop users, especially the British public (and secret) services should take note as they tend to loose quite a few laptops per year.

The second application is KeePass, which is nothing more or less than a nice password safe which keeps your secrets locked away (even from you, should you forget the master key). Cool features: it simply runs (no installation required), has a password generator, and does support importing.