Setting permissions on files/directories won't provide any sort of security for data which will be stored on removable media. You need to use encryption, and probably the most popular multi-platform software for that is
TrueCrypt. Of course, if you don't need to actually use the data from within Windows, then you don't need any multi-platform solution. I usually just use the
openssl command to encrypt stuff with
AES 256, like:
Code:
openssl enc -aes-256-cbc -salt -in example.tar.gz -out example.tar.gz.enc
If you want a directory where anything you put in gets encrypted and you don't care about accessing it in Windows maybe give
eCryptfs a try. Ubuntu's next release (Intrepid Ibex) will be
putting it to good use.