At first we must download TrueCrypt (freeware)
http://www.truecrypt.org/downloads
Then we must formate in NTFS mode our USB Drive if greater than 4 GB and we want to full encript. (take a look to the following screenshot)
Now we must create our encripted volume/file on the USB drive.
Launch Truecrypt and go to Tools --> Traveler Disk Setup....
Now we have the USB drive with TruCrypt Format.exe (to launch now to format the encrypted file) and TrueCrypt.exe Portable to use the USB on a different PC.
Now we can mount our usb, you must launch Trucrypt.exe as follow:
Note, It's important to Unmount the USB before keep away it from our computer.
[update 2016.12.31]
You should be aware that TrueCrypt development was no longer maintained/updated since 2014.
http://www.alessandromazzanti.com/2013/08/usb-create-usb-encrypted-with-truecrypt.html
Hacker - Truecrypt alternatives
Several security bugs have been not resolved.
You fan review this article about some alternatives that I summarize them in this article too.
https://www.comparitech.com/
Here they are Truecrypt alternatives (from my side I use, normally, 2. and 7. options):
- VeraCrypt You can find a full list of improvements and corrections that VeraCrypt made on TrueCrypt here. It is open source and free.
- Bitlocker no encrypted containers ability and not open source.
- DiskCryptor supports encryption of external devices including hard drives, USB drives, CDs, and DVDs
- CipherShed
- FileVault 2 Apple’s answer to Bitlocker, no encrypted containers ability and not open source.
- LUKS
- SafeHouse Explorer – 3.01 Portable