Why do we need encryption?

I don't understand why Microsoft didn't just make a feature to password protect files and folders in Windows. It would make things so much simpler and then I wouldn't have to wait 7 minutes each time I encrypt and decrypt my USB drive (Who knows, maybe it even eats away it's lifetime :/ ).

Did they put a feature like this is Windows Vista?

[Moved to Off Topic forum by Moderator RM]