Most of the time, security means password protecting Windows itself, and perhaps bolting your computer hardware to the desk. But there are any number of scenarios in which programs and data might be exposed to unauthorized personnel. For those situations, consider using Empathy to encrypt and password-protect the programs themselves.
Empathy might be an option for limiting access to a program on a shared PC that no one but you has any right to be mucking around with, for example. It can also keep confidential software in development secure from prying eyes. And since Empathy encrypts the executable itself, there's no way to run the program, even if someone manages to copy it to another PC. Of course, it doesn't protect the program's data, so that's still vulnerable to theft.
Empathy is free, but "postcardware" -- a form of shareware you don't see much anymore. It's completely unlocked, except that the password you assign to any given program can only be one character long unless you mail the author a postcard, after which he'll enable full-strength passwords. If you need to lock down an app, Empathy definitely seems to be worth a postcard.