Connecting from windows to my macbook gives access to all files
When you connect to your computer (presumably) as yourself you will see absolutely everything on the computer as you are the owner. If you want people to connect to your computer and only see certain folders you will have to create local users that only have access to the folders that you assign them rights to.

It works the same way on Windows and Linux: you control access to folders (and the files within them) by assigning various users specific rights to specific folders.

Let's say you have two folders on your Mac "Accounting" and "Pictures." You only want your sister to access the Accounting folder because she takes care of your finances and that is where you put the spreadsheets and receipts that enumerate your finances and expenses. So you create an account for "sister" on your Mac and add her to the list of users who have access to that folder (which will be you (the owner of the Mac) and your sister).

But you want your brother, mom and dad to view the pictures and only the pictures. So you create three accounts (called brother, mom, dad) and add them to the list of users that have access to that folder.

Each user needs their own password (which you assign when you create the account) and a username which can be as above or uses their name, your choice.

And then when they need to access the files they log in with their username and password and only have access to the folders that you assigned them rights to.

That is a "10 mile view" of file sharing. I've not gone into details as there are lots of tutorials out there (you will have to learn how to use Google for this) that tell you in detail how to do file sharing on the Mac. But this gives you an outline of the process.

For a newbie it is annoyingly complicated, for someone who does system administration for a living, it's second nature and easy.