you can share the individual folders on the "server" pc, and set security permissions for the share to limit only the admin and user in question to have access to the folder. Then, the individual user can map to the folder using the \\computername\sharename$ syntax (making the share hidden to other users as well) on their computer, selecting the "reconnect at logon" option.
Even if other users did know the share name on the computer, if they attempted to map to it or browse to it they would get an "access denied" message.
repeat until all users are configured and mapped. You can even go a step further and set the security permissions on the filesystem level itself(the actual files located within the shared folder), meaning that even if an unauthorized user gained access to the share folder, they would still get an "access denied" message when they attempted to look at individual files. (assuming none of the unauthorized users in question would have administrative rights).
lastly, to take it even further still, there are encryption products that can encrypt individual folders/files requiring yet another level of authentication before the files/folder can be accessed/decrypted.
this(3rd party encryption) would accomplish the password needed, but realize that if security is based on logon ID as mentioned above, there would be no need to password protect the folder, as only that user would have rights to it anyway.
at least thats if im understanding the request properly....