No, Code Memo has nothing to do with putting a password on a folder.
In short, there's no easy way to password protecting a folder on the Sony Ericsson phones. I've heard about some 3rd party software that tries to, but by all reports the software seems rather useless.
Also, it often costs nothing to receive texts in a foreign country, unlike receiving calls (which you have to pay for). Ask your network for advice. Only a handful of countries charge for receiving texts, IIRC.