There is no way to password protect CS5 files built into InDesign.
Why do you need to do this? There is third-party or OS-level encryption software available to encrypt files but for us to advise you, you would need tell us what operating system you're using.
Thanks for the reply. I know it sounds like a weird thing to need to do, but there are files here at work that I need to keep confidential and I prefer working in InDesign to MS Word. I'm a Mac person all the way, but I'm forced to use Windows here at work . I guess I will just put the confidential files in Word. I figured it couldn't hurt to ask! Thanks again for your help!
Why don't you just store them in an encrypted disk image?