I'd recommend using a product like TrueCrypt (http://www.truecrypt.org/). This product creates a virtual encrypted disk within a file and mounts it as a real disk.
You could put your TrueCrypt container inside of your Dropbox folder, if you were ever concerened about the security of your data in Dropbox's cloud.
If you're wondering where your TntMPD database file is right now on your hard drive, check out this article: http://www.tntware.com/tntmpd/faqs/en/what-and-where-is-my-database.aspx
Be aware that on the Mac, when you create your TrueCrypt container, you must choose "Mac OS Extended" as your format. Unfortunately the "Mac OS Extended" format is not compatible with the PC, so only choose this if you are Mac only.
