There's a few ways to keep other users from viewing your files.

The easiest is to make every folder under My Documents private, so only you can access these folders and their contents:

1. Right-click your My Documents folder and then click Properties.
2. Click the Sharing tab, select the Do Not Share This Folder checkbox, and then click OK.

If you don't need this much privacy, you can simply follow the same steps above to make individual folders private instead.