Basically you are asking for an encrypter. An encrypter simply codes your files in a that is not reasonalbly readable and then password protects them.
Here is a compiled list from
Download.com.
I use Remora and have had good luck with it. Basically you install the program on your USB drive and tell it to encrypt the volume. This is then followed up with a password. To unencrypt you launch the program, put in the password, and tell it to unencrypt. It's fairly simple. There aren't to many password protection programs out there that will work like Drivelock, which password protects your computer's harddrive. THis is built into certain BIOS sets. Unfortunately, this isn't usually readily available on a flash drive. There are some out there that incorporate this, but if you don't have it already you won't have it at all. Now, there are some password programs out there, but they aren't entirely safe. It's pretty easy to bypass or crack a password on a flash drive. Sorry.