If you can install software, then you could install something like Truecrypt
and use it to encrypt your Calibre directory.
If you can't, then most zip software will allow you to password-protect a zip file. You could use that functionality to do the following:
1. Zip up your Calibre directory and protect it with a password
2. Delete the Calibre directory, so that the only copy is the password-protected zip file
3. When you come to use Calibre, unzip the directory first
4. When you've finished using Calibre, repeat steps 1 & 2
That's a lot of messing about, but it should protect your Calibre library, and shouldn't require any extra software.