Found TrueCrypt. This is exactly the encryption software that I am looking for. A separate memory space that I can store my private data without being fear to be seen by others.
TrueCrypt creates a file that can be mounted as a drive. This file can be mounted as a separate drive. Users need to enter a password when mounting the drive. If there anything to complain, when I try to create a dynamic volume, a scary warning saying that the file can get corrupted.