There is nothing that you can do that will prevent a person from copying a file 100% of the time, though there are thing you can do to make it more difficult to copy a file (i.e. remove optical drives, disable USB ports, disconnect from Internet, turn off network shares, etc.). Still, that is not a reliable security measure. If you care that much about your data then you must always assume the worst case scenario, and the worst case scenario is that if someone had a chance to copy your data then they did copy your data. With that said the only thing you can do to protect your data is encrypt it.
You don't say in what context you want to protect files. As @Charles Lindsay said TrueCrypt is a good choice for whole disc encryption. Windows Bitlocker is another whole disc encryption option if you have an appropriate version of Windows. If you only want to protect certain files/directories then there are numerous tools that will allow you to do that. Pick encryption software that implements known good encryption standards like PGP and strong algorithms like RSA and AES.