First: Who is the drive made by? I have a sandisk thumbdrive, and they a program called "Cruzerlock" you can download for free from their website. I have no idea if the program checks to see if the USB drive it is on, is a sandisk product or not.
Here is one program I looked at a few months ago:
It comes highly recommended... I ended up not using it because it didn't meet my needs. I believe its encryption "containers" were limited to like 5 megs in size, or something small like that. I was encrypting large media files. For documents and even pictures thats a fine size though.
Now here is the important part about any kind of encryption you use... you need to have access to the program to do the encrypting and decrypting.
With "Cruzerlock" I keep a copy of it on the USB drive itself (it isn't too big, so its not an issue to keep it on there.) If you use a program that is only on your home PC or your work PC for example (and cannot be put on the flash drive itself) then you are limited to accessing the data at the terminals the program is installed on. If you can keep it on the drive itself then you can plug it into any compatible computer.