Locking your USB stick will protect information and data stored on the device, here if you are going to use a standard program for encryption than you need to install it on any computer you’re going to use and this is not practical.
USB Safeguard can solve this problem with minimum requirement and a free version for a 2GB USB device, if you are looking to use your USB device you just plug it to your computer and type users password to open all files stored on the device.
The program encrypt the data with a 256 bit encryption AES and runs almost on any windows operating system including XP,Vista and 7 while it consumes only a 100 KB on the USB stick. If you often use USB devices at work or at home be sure to encrypt your data as this will protect your device from malwares and prevent any person from using or destroying your personal information, especially that you never know in which hand they will fall.
You can download USB Safeguard copy at the official website.