Unlocking Folders

The easiest way to unlock a folder is by double-clicking on it in the Finder, just like opening a normal folder. The password prompt will then appear asking you for the folder's password.
You can also unlock folders from within the Espionage application by unchecking the "Locked" checkbox.
Finally, you can use to global menu item to unlock enabled folders. If you don't see it at the top of your screen, make sure it's enabled in the preferences.

Locking Folders

You can lock folders within Espionage by using the "Locked" checkbox.
By using the global menu item.
Right-click on an unlocked folder and choose "Lock Folder". On 10.5, this option is in the "More" submenu. On 10.6, it is visible in the main menu, but only after you've restarted the computer at least once after installing Espionage.
You can also use OS X's "Eject" contextual menu item. To use it you'll need to first open the folder and then right-click on the white background of the folder window while making sure not to select any items inside the folder. Note that locking it in this manner will remove any custom folder icons.