Recently, Virtual Desktop Infrastructure (VDI) has been widely adopted to ensure secure protection of enterprise data and provide users with a centrally managed execution environment. However, user experiences may be restricted due to the limited functionalities of thin clients in VDI. If thick client devices like laptops are used, then data leakage may be possible due to malicious software installed in thick client mobile devices. In this paper, we present Data Firewall, a security framework to manage and protect security-sensitive data in thick client mobile devices. Data Firewall consists of three components: Virtual Machine (VM) image management, client VM integrity attestation, and key management for Protected Storage. There are two types of execution VMs managed by Data Firewall: Normal VM and Secure VM. In Normal VM, a user can execute any applications installed in the laptop in the same manner as before. A user can access security-sensitive data only in the Secure VM, for which the integrity should be checked prior to access being granted. All the security-sensitive data are stored in the space called Protected Storage for which the access keys are managed by Data Firewall. Key management and exchange between client and server are handled via Trusted Platform Module (TPM) in the framework. We have analyzed the security characteristics and built a prototype to show the performance overhead of the proposed framework.