WARNING: CryptKeeper has recently been reported that it has a universal password bug that puts your data at potential risk. This issue may not yet be fixed in Ubuntu, use this solution at your own risk.
TrueCrypt can create mountable encrypted disk images
You can access TrueCrypt volumes on all three major OS. This is a disk encryption tool rather than a file encryption tool, so the choice of file system inside the disk image is important if you want to be able to mount the file system inside - chose a file system that works on all platforms you intend to use. FAT32 is probably the safest choice.
Note that in order to install the TrueCrypt driver on Windows, you will need to be an Administrator user, or gain the cooperation of one, for every workstation you wish to access a TrueCrypt volume on. In addition, any process with access to the mounted file system will be able to read your files in the clear, so you must trust all systems on which you mount your encrypted volume.
If you can't use TrueCrypt, or don't like it's caveats, then you can encrypt individual files with GnuPG. Gpg4win provides easy to use Windows tools for GnuPG. While GnuPG will encrypt files at the simple "password" level, you may wish to read up a little on Public Key Cryptography.