OneNote data is really defined and bounded by the section file, so that's the
minimal level of protection that you can set. You cannot *within OneNote*
protect more than one section in one step.
But there are some workarounds:
1) The initial setup to PW Protect each section might take some time, but
after it's done, the section is permanently protected, and you *can*
immediately lock all protected sections at the same time by using the option
on the Password Protection page of the Task Pane, or by pressing Ctrl-Alt-L.
2) Since the sections are just files on the hard drive, you can use the many
security features of Windows to protect them. Windows 2000 and Windows XP
offer EFS (encrypting file system) which can seamlessly encrypt the files in
a folder so that only your account can access them. Any version of Windows
based on Windows NT (again, Windows 2000 and XP) can also assign permissions
to files so that only your user account can access them. Both EFS and
permissions require the hard drive to be formatted with NTFS.
