You didn't say what kind of computer you have, but on a Mac they're all good that way. No software to install for any. The standard "New Disk Image from Folder" (File>New>) function of the Disk Utility (initially in Applications>Utilities) encrypts if you want it to, and is the normal way to protect data on any removable media from prying eyes that may find it.

If you use Windows, I suspect (without knowing) that there may be a similar answer, but that it will depend on the version you have - so you might want to be more specific about that.