Data security in Windows includes mostly file and folder access permissions and encryption. Both prevent unauthorized access to important items.
First, while file and folder access rights in Windows are completely suitable for single-user scenarios, adding users and/or shared folders requires more granular control over who is able to read, write, create or delete shared contents. That's where NTFS permissions come in.
Second, encryption is a great way of protecting your data from hackers and unwanted users. The very basic Encrypting File System is provided with Windows Professional/Business/Enterpise/Ultimate editions. This is a simple certificate-based encryption.
To create password- and keyfile-protected encrypted containers, install free TrueCrypt. This program also allows easy encryption of whole system drive (the drive where Windows is installed), so that no one is able to access your files even if your PC is stolen or lost.