Mac OSX is a flavor of unix and security is built right into the filesystem...
If you want to grant access to a file only to yourself the set the permissions like so...
Open a terminal window...
type either...
chmod 700 /path/to/folder ---- for directories
chmod 600 /path/to/file --- for non program files
chmod 700 /path/to/program --- for executable programs
this will make it so only your username has access to this file or folder and thus requiring no password at all. Any other user on your machine will not be able to copy it, open it, change it or even execute it(if its a program).
If the command line interface scares you, I am pretty sure you can set the permissions for a folder or file with the get info feature of OSX.
UNIX is very powerful, and this permissions feature is one of the reasons for it. Keep in mind however, that if someone reboots the computer into OS9, the permissions go out the window as OS9 doesn't support file permissions the way that UNIX does. Bottom Line, drop OS9...its unsecure.