If you are talking about sms messages there are a couple of things you can do with the stock messaging app - if you long press on a message you can lock it so that you can't accidentally delete it or copy the contents of the sms so you can paste it into another app or you can copy the entire sms to the sim card

 

Sorry - double post there

 

Oh I see now what you want to do - app protector pro from the market will let you password lock any app on your phone