How do I put a password on my USB flash drive (thumb drive) storage device

I just want a way to carry my files with me (on my key chain) but make sure that, if I lose the drive, no one else can access those files. Thus, I wouldn't mind putting a password on a folder and then putting all of my files into one folder inside the drive. I guess I could put a password on each individual file, but that seems like a lot of trouble.

Some USB thumb drive do not have a security feature mentioned, but if you do have it click on my computer, then click on the name of your thumb drive, the folder will open, when you see a icon folder that represent your security folder click on it and then follow instructions.

This article from Dreamyoup