If you're not the only one who has access to your computer then I'd bet that there are certain programs and files you don't want others accessing.
There are a multitude of options on how to go about doing this. There are encryption programs, programs that restrict access to portions of your computer, programs that make your files invisible. You get the general idea.
A novel approach to the problem lies in Akala EXE Lock.

Akala EXE Lock password protects any program currently residing on your hard drive. An attempt to run a program that's locked down will result in a dialoge box launching asking for the password. Failure to provide the correct password prevents the program from fully launching.

Akala EXE Lock is most useful in situations where you want to stop people from getting to certain files but don't want to deal with hassle of constantly encrypting and decrypting those files every time you want to use them.
For example, password protecting your copy of the Real Player negates the need to lock down every single Real audio/video clip on your computer that you want protected.