CDs can't be directly copy protected, you must encrypt the data files on the CD using some program, then use that program to decrypt the files.
You can encrypt data files using WinZip or many other programs -- check the free programs sticky thread here, or search on "encrypt" or "password protect" at your favorite shareware site.
Game copy protection works differently: none of the data is protected, the game just is written to look for special bad spots on the CD when it starts up, and stops if the bad spots are missing.