Setting a BIOS password requires that you enter the BIOS setup program. This is usually done by clicking some key before the operating system boots. Perhaps you have seen the message "press F2 to enter setup" appear on your screen. Once you have entered setup there is usually a property page or section where you can set the password. The location is dependent on the BIOS used for the computer. There should be instructions in the documentation that came with your computer. If not, visit the BIOS web site.
You should realize, however, that there are many ways around this including bios password crackers, known backdoors and so forth (See http://www.pwcrack.com/bios.shtml. This site also provides site links for major BIOS manufactures). More information on bypassing bios password is available at http://labmice.techtarget.com/articles/BIOS_hack.htm.
To encrypt files before placing them on a CD-ROM requires some encryption software. Or Windows XP, 2000 or 2003. You can use EFS to do so, then transfer the files. However, whatever encyption software you use, please read up on how to protet the password, or keys that protect the encryption. If you lose them, you will not be able to access your files.
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