In the folder option with "Use Windows classic folder" would be change all the folder in the Windows.
Is there a way to "Use Windows classic folder" indicate in a folder ONLY?

I mean in my private document folder.

I'm using Windows XP.

Your question is very unclear. Are you asking if you can change the folder icon of selected folders without changing the icon for all folders? If that's your question, the answer is yes. There are a number of utilities, some free, some not, that allows you to easily change the icons for specific folders of your choice, either changing the color of the folder, etc.

You can google for folder icons, or take a look here:

http://www.snapfiles.com/downloadfind.php?st=folder+icons&action=s&search=Find+it

Snapfiles is an excellent source for both free and shareware, and the site is free of files containing malware, I've used it for years to find that "nice little utility that will ...". It should give you some ideas what is out there.