It's fairly easy for an attacker to break Windows encryption using a brute-force attack, which is when an attacker uses a program that methodically guesses every possible combination of letters and numbers, starting with common passwords.
If you encrypt a single file, the computer stores an unencrypted version of that file in its temporary memory, so a savvy snoop can still access it. Windows' built-in encryption isn't a perfect solution. How good are Windows' encryption services?