mark the folder, hit DEL, and select 'Leave message base intact' - this will simply remove the folder from the tree. Later you can press CTRL+ALT+SHIFT+L and it will appear again.
Of course when a folder is removed you can't do anything with it and the messages inside, filters that sort to it will fail etc.
You can set a password for opening the account, then folders can't be viewed without it(Account -> Set access password).
Note that if you don't use message base encryption, anyone can view your emails even when theBat is closed. So for true protection either enable message base encryption(me thinks this needs theBat to be reinstalled) or a far better solution would be to keep your mail folder in an encrypted container (TrueCrypt, PGP disk etc.)