Users of Windows XP Pro and Windows Vista Business/Ultimate don't technically need these program. It's fairly easy to use secpol.msc to set up software restrictions on a PC. Empathy, however, will be easier to set up for the XP or Vista home versions — allowing you to password-protect any executable file. Empathy can modify an EXE file so that it will require a password to run. Only a person knowing the password will be allowed to run the protected program.
Protected files stay protected if you copy them to another location or even to another computer, no matter which operating system do they use.
More info: Empathy