Pendrives are so common now days.This small portable storage device plays an significant role in our life, we used pendrives to carry personal documents like project files, photo's and so on... and also for backup data's, due to the small size of the pendrives its easy to get lost. Just think if your important data's gets in a wrong hand....
Its better to make your sensitive USB flash drive data's to be encrypted. "TrueCrypt" is a free and nice open-source disk encryption software to encrypt USB storage's devices. No data stored on an encrypted volume can be read without using the correct password or correct encryption keys.
The complete step by step official tutorial with print screens on their website .TrueCrypt is available for all major operating systems like Windows 7/Vista/XP, Mac OS X, and Linux.
Download: True Crypt (Manually select your O/S)