Out of the box you'd need to set up a role for each user, as well as a
folder for each user, and then apply the appropriate permissions.
However I do recall a custom module called 'UserFiles' or the like
which was basically designed to what you want. I'll see if I can
find it.
EDIT: Whadda you know, it was one of Peter modules. Was
designed for DNN V2 though, so you might have to ask him nicely to
upgrade it if you want to use it ;=))
User Files
Cheers,
Andrew