I found this in a few different places around the 'net - hopefully it's helpful:

Show Encrypted Files in Color

You can encrypt files and folders on NTFS volumes to hide their content from other users. To quickly identify encrypted files and folders in your system, follow this tip to display the name of the encrypted file or folder in color.

• Double-click My Computer, and then click Folder Options on the Tools menu.
• Click the View tab.
• Select the Show encrypted or compressed NTFS files in color check box, and then click OK.

Now the name of the encrypted file or folder is listed in color within Windows Explorer. The EFS feature is not included in Windows XP Home Edition.