De acordo com este Artigo de suporte da Microsoft sobre o tópico:
- The folder is not in your user profile (Drive_letter:\Documents and Settings\User_name, where Drive_letter is the drive on which Windows XP is installed and User_name is your user name). The Make this folder private option is available only for files in your user profile (the My Documents folder and its subfolders, and the Cookies, Desktop, Start Menu, or Favorites folders).
- The Windows folder is located on a drive that is formatted with the FAT or FAT32 file systems. The Make this folder private option requires the NTFS file system.