A nice how-to article on protecting USB drives with a password and encryption using Windows Vista or 7 and Bitlocker.
Do you carry sensitive data in your pen drive? Then you should carefully keep your pen drive. Oh! You mean you are not that careful too. Then I would suggest that you should password protect your pen drive. Yes folks, you can do this by a simple method. This is an added advantage to Windows Vista and Windows 7 users that they can easily password protect their pen drives with the help of BitLocker Drive Encryption. Its an inbuilt feature of both of these operating systems.