There are alot of tools that can encrypt files for you.
"My Documents" is not a file by the way. It is a folder where files (and othe folders) are stored in. If you want to encrypt all files in there, then you need a tool that can encrypt entire folders at once.
A nice list of free file encryption tools can be found here:
http://www.snapfiles.com/freeware/security/fwencrypt_r.html
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