There are third party softwares that integrates well with AD and provide this functionality. They let you define the sensitivity of a network resource (folder) and accordingly set the authentication level so that users are prompted for password each time they access a particular resource. I would advice against use of any freeware for this purpose.
User security credentials are cached on Windows client workstations. This is a network performance improvement feature. So, once a user is authenticated on a workstation, they are rarely asked to provide user credentials again unless some other application requests fresh login