You will need to install TrueCrypt on whatever machine you are plugging the USB device into. From there, go to to the volume creation wizard after you have the USB drive plugged and select the second option "Encrypt a non-system partition/drive". Go through the wizard to select your USB drive and encrypt it. Then after everything completes, you will need to plug in the USB drive and open Truecrypt every time you want to access it. Click on Select device and hit your USB drive. Enter the key and the system will mount it. That should take care of it.