usually it will encrypt the usb drive and install a program inside that prompt you to enter password to open it, so you can run it on any computer, the problem is you cannot run them on mac if you made it on windows, there is ways to do it but it's not an easy task, so I will speak of a universal way that works on all operating systems including Linux, then I will list few programs for windows and mac.
The universal way "TrueCrypt"
TrueCrypt is open source and avialable on most operating systems, also other programs can mount TrueCrypt drives and they are available on windows, mac, linux and even on Android, iOS devices.
Here is a tutorial on how to encrypt your usb using TrueCrypt and create a small portable copy of TrueCrypt that you can use on windows machines, you might wanna download other tools depends on the operating system you are planing to use your drive on.
- Kakasoft USB Security and Tutorial on how to do it
- Rohos mini Drive
- How to encrypt your usb using TrueCrypt on Windows