How can I create an archive with some files password protected and others not?

First of all choose 'New' and select one of arj, 7zip, rar or zip archive formats and choose 'Add' from the Action menu. Do NOT check "Password" in the Add dialog. Add your files and then reopen the Add dialog again but this time check "Password" and enter your password. From now on all the files you add to the archive will be password protected.