[alex]"is there any possibility to hide files (like in windows) or to password protect files/folders in OS X?"
Yes and no. OS X uses permissions on every file and folder (Unix). Those permissions are related to users. Every user of that Mac should have their own user name and password. If you put anything into your user folder, then no other user should be able to access or see what's in it (except a couple of sharable folders inside). If you change the permissions on the files and folders on your Mac, you can prevent or allow any other user from reading & writing to them (need to be Admin level user or above, depending on the files). Get info on a file or folder to change its permissions.
If you don't want someone looking at your Mac while you're logged in, but maybe stepped away for a few minutes, then you have a few options. If you go to your Security preferences. You can require a password to wake the computer from sleeping or screen savor. Simply put your Mac to sleep before you walk away. You can also have your user account automatically log out after a few minutes of inactivity. Disable auto login as well, if you don't want someone else starting from your account.
Instead of typing a whole novel on the subject I found a couple of links that should help you. They will tell you how to make files/folders invisible like you originally requested. OS X has a lot of invisible files on it that are very important. Please don't delete any unless you really know what you are doing: