Just got a SanDisk flashdrive, 16 gig as a gift (haven't opened it yet)

It says on the package that theres some kind of encryption to help protect my files?

I hope someone has these drives and can tell me more about this.

how does it work?
Is it built into the drive or is it software?
if it is software, then that means I cannot format the drive, because that would get rid of the software then. correct?

Thank you