Thanks for the response. I have just installed the program. Which method of protection do I select to enable a password on the drive? If I select lock then this makes it completely unaccessable. I just need to enable a password so that when it is plugged into other computers it requires a password.
Maybe not quite what you were asking for, but TrueCrypt click here should do the job. You can set it up to encrypt an entire partition or an individual file (which will appear and work as a disk when you use it).