We use XenApp published desktop with profile management as part of our IT infrastructure.
Each user needs to have an encrypted folder on her desktop. One can think of an encrypted container à la truecrypt for a virtualization environment.
The folder should look and feel like a traditional folder (i.e. it should be readable with windows explorer).
When the user tries to put a file in the folder (by drag and drop for instance) the file should be encrypted and copied to the folder.
When the user tries to explore the folder she should be prompted for her password and the content of the folder should be decrypted.
The programmer is free to use any technology. The source code needs to be provided as it will be proofed for security reasons.