It's actually *slightly* harder than that to prevent other users from accessing My Documents, as I found out the hard way.
The easy way is to boot into safe mode and log on as Administrator, because this account usually doesn't have a password and can usually access all the files.
The harder way is to use a linux boot disk, but as you say your family isn't going to do this to check up on you
.
Basically, without a single-file encrypter, or XP Pro's builtin functions, actually *Encrypting* the files will be impossible. All you're doing is restricting access, which can be pretty easily circumvented.
P.S. Try:
Start -> Run. Type "cmd". Now type (replacing <user> with your username):
cacls c:\documents and settings\<user>\My Documents /G <user>:F
This should prevent even Administrator from opening the folder
.