It’s not so easy so don’t worry if you haven’t figured it out.

Do your emails come from POP3 or HTTP server? If they do then you can password protect the file that the emails are saved to. If they don’t then you may need to purchase third party software that will set up passwords for programs.

If it is POP3 or HTTP then follow this guide:
http://office.microsoft.com/en-au/assistance/HA011138511033.aspx