Last week we announced a new feature called Personal Vault that will be available soon for OneDrive consumer accounts. See this blog post for more details.
We have no plans to bring Personal Vault to our Commercial customers at this time, but continue to make investments in advanced security features that are unique to the Commercial service.Kim S commented
Please add the ability to have a password protected file in the same folder as a standard file accessible by link. Rather odd that this is not already an option.