I have Galaxy S2 running on android 4.0.3. I have a number of photos, videos, pdf and word files stored on the micro sd card.
I am just wondering if there is a way to password protect individual files.
The SDCard is formatted with the legacy MSDOS FAT16 filesystem, which enables compatibility for the most part, largely majority with the Windows platform, not to mention Linux and others. It is for that reason, there is absolutely zero mechanism within that filesystem from a security standpoint. That is the trade-off with legacy filesystem and interchangeability with different desktop systems.
However, the alternative may be, is to format the SDCard to use one of the variety of Linux only filesystems where you can put permissions on each directory to prevent it from being browsable. Notably, ext3fs or ext4fs (Extended Filesystem 3rd and 4th edition respectively). That you might get away with but could induce side effects with the stock Android applications such as Gallery, Music Player.
The one thing that springs to mind, albeit from a technical view-point, would be, to have a Android service running in the background that is monitoring file access to those files in question and the service could trigger a rudimentary dialog box prompting for the password based on the list of files the service can monitor based on your choosing.
A bit of quick google-fu yielded this hit on this app that might be the very thing you're looking for.
Actually, that is what I have mentioned above! Well, reading the reviews, some disgruntled people felt they were cheated out of it, its free for 48 hours and having to pay a premium price - 19.95 accordingly to the review!
As t0mm13b already described, on a FAT system it's not as easy as setting some file permissions. But what you easily can do is use encryption on single files or entire directories.
One of these ways is to use encrypted containers. You can think of them like password protected ZIP files -- only that you can access them transparently from any app, once you've opened them. An example would be EDS, which uses containers in the popular TrueCrypt format. Using this, you can even copy your containers to your workstation, and access them there: TrueCrypt is available across platforms, so e.g. on Linux, MacOS, BSD, Windows...
If you don't care about using the encrypted "stuff" on your workstation, DroidCrypt is another popular alternative, coming with a nice user interface.
As you explicitly asked for "single files", a last alternative to mention is FileLocker, which lets you lock files separately. It also encrypts them -- but to be able to read them again, you must "unlock" each file separately.
If you are looking for more alternatives: There are lots of encryption apps available on the playstore. Some of them can handle single files only, some files and directories. Some even encrypt entire "volumes" (i.e. the entire "disk"). Many of them require root -- the two I picked here should not.