Lock Your USB Drive Without Using Any Software

If you're using Windows you don't need any software to do this.

Just Follow These Steps:
 
Insert your USB drive to computer Click on Start. In "Search programs and files" box, type Bitlocker Drive Encryption Now launch that application.

Then look for your USB drive and click on Turn on Bitlocker

 
Windows will ask you to set a password. Now set a strong password. 
Click on Next

If can save the password in a safe place.
Now click on Next

Now click on Star Encrypting
 

Thats All.....!!

From right now if someone tries to access your USB, Windows will ask him/her to enter the current password.
Note : This trick will work only on Windows.