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That's going to be tough to do, because if you think about it they are able to see the confidential information in an electronic format so they could always cut and past the text out of it, which would get around any auditing on the acutal document. There are tools out there that will allow you to track copying of files and folders, but I woudl think the better approach would be to restrict the user's permissions on that folder. 
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Filemon is exacting what I need!
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A group of users has access to a share containing confidential information. The users in this group are allowed to view the information at work but I need to know if anyone has saved a copy.<br />
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Is there an audit to track if a user copies a folder or file(s)? 
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A group of users has access to a share containing confidential information. The users in this group are allowed to view the information at work but I need to know if anyone has saved a copy.

Is there an audit to track if a user copies a folder or file(s)? 

Audit If A User Copies A File From A Windows 2003 Server

Network analysis is the process of identifying and remediating the processes and systems within a network, including performance, connectivity and security. The process is performed through the use of tools developed for monitoring and analyzing network activity. Network problems that involve finding an optimal way of doing something are studied under the name combinatorial optimization. Examples include network flow, shortest path problem, transport problem, transshipment problem, location problem, matching problem, assignment problem, packing problem, routing problem, Critical Path Analysis and PERT (Program Evaluation & Review Technique).

Network Analysis

Windows Server 2003 was based on Windows XP and was released in four editions: Web, Standard, Enterprise and Datacenter. It also had derivative versions for clusters, storage and Microsoft’s Small Business Server. Important upgrades included integrating Internet Information Services (IIS), improvements to Active Directory (AD) and Group Policy (GP), and the migration to Automated System Recovery (ASR).