I do not believe password protection for folder in Premiere Elements is possible.
You would need to explore any possible options that are available through Windows operating system or 3rd party software.
What program are you using - Photoshop Elements or Premiere Elements? If Photoshop Elements is your program, then please post your question in the Adobe Photoshop Elements Forum to get the perspective there on the matter. I believe the answer is the same there.
The above is from what I have read and observed. I have not done a study on the matter.