Yeah mate, it's part of the filesystem "NTFS" mentioned by Dan, which comes with Windows XP.
In Windows Explorer, right click on the file/folder you wish to protect from guests, and select "Properties", then use the "Security"(1) tab to modify the permissions. You will probably want to put the "Guests" group in there, and deny them Read access. This will take priority over any allow permissions inherited by the folder, if you want this to propagate into all subfolders, you can use "Advanced" button, and the "Replace all existing inheritable.." checkbox.
This will prevent any user with a Guest account from reading the directory or file.
(1) If you can't see the "Permissions" tab, you will have to disable "Simple Folder Sharing" via, the Windows Explorer window -> "Tools" menu, "Folder Options", right at the bottom.