Note that TrueCrypt is available for Windows, Mac and Linux.
Download and install TrueCrypt, after you are done or if you already have it open TrueCrypt from the start menu or manually run TrueCrypt from the installation folder.
On the main TrueCrypt window . Click Create Volume.
on this windows you can choose what you want to do, by default it will be on first option of creating a partition, just hit next.
Then you will need to choose if it's a normal or hidden partition, leave it on default and hit next, if you know what you are doing, you can go for a hidden partition.
Click Select File.
The standard Windows file selector should appear.
On this step you will choose your USB drive letter and hit save after choosing a file name on the box.
The window will close automatically and that's it for now.
Later on you will need to make a portable version of TrueCrypt and place it in the USB drive so you can open the encrypt container you just made on the go.
Lucky TrueCrypt can do that for you with a simple to follow wizard, this is how:
Click on Tools, then click Traveler Disk Setup.
Choose your USB drive on the top box by clicking browse then clicking it.
Choose what you wanna happen when you insert the USB into a pc, you can leave it as do-nothing and hit create.
There you go, you have an encrypted partition inside your usb and you have the tool to open it on the usb also.