Password Protect USB with Windows 7....

Insert your USB drive to
computer
Click on Start
In “Search programs and files”
box, type Bitlocker
Drive Encryption.
Now launch that application.
Password Protection to USB Drive
without using Software.
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 you want, save the password in
a safe place.

Now click on Start Encrypting...
Password Protection to USB Drive
without using
Software.
That’s all !!! 
From right now if someone tries
to access your USB,
Windows will ask him/her to
enter the current
password.