Is there any way that I can password protect Cds on which I am holding
personal information, so that only I can access the files

In terms of the Windows XP world there are many approaches.  One
approach is to encrypt the folder using a third-party encryption
utility and write the whole encrypted folder to the CD.  This has the
advantage over the password method because *all the data* within the
folder is scrambled and cannot be read by any normal person.

There are lots of encryption products.  Here is just one:
http://axcrypt.sourceforge.net/

Compare with XP professional EFS.