There are a couple ways to do that, and the "best" way really depends upon to what end you're encrypting and who needs to see the file. If it's just something you're going to be doing rarely and aren't terribly interested in encryption or maxing out the security, simply use 7z or rar to archive the file and select encryption/password protect at the same time. That's good enough for most purposes.
Beyond that, and for best security and most flexibility of all, you'd have to install GPG, generate keys, and then encrypt whatever file using the GUI's context menu or even the command line. GPG is also most useful if you're intending upon sending encrypted text, emails, or files to one or more recipients without having to share a rar password.
