If you already have ISOs of the files you're trying to run, Daemon Tools works fine. I've used it in the past and while it can be a mess to uninstall if you do it wrong, it works great. The software from Alcohol Soft is Trial-ware though.
Thanks everyone for the suggestions! What I like to do is have a virtual hard drive, should of explained what I wanted to do. I'd like to have a virtual hard drive so I can run a few programs from it.
Thanks!
TrueCrypt is also good, but Private Disk is easier to set up IMHO. Also with Private Disk Light the "container" file for the virtual FS can have any filename extension. I use ".zip". If anyone tries to open it the usual way, not knowing what it really is, they'll get a message saying it's a corrupted .zip archive.
On a Mac, just create a read/write disc image (.dmg file) of the desired size using Disk Utility.
This might be a longshot, but if you don't require a lot of space, why not just get a flash drive? You can run the software and have some portable data storage.