Are you using a backup program or just copying files? Most backup programs should offer an option to encrypt the backup as it is made.
You could, of course, archive the data with WinZip or 7-Zip click here and add a password to the archive.
The downside is that compression/decompression of large amounts of data (Gbytes) takes some time though it does also save space on the drive. If space is not an issue, you can use the fastest compression mode but still add a password.