Hatryst, encryption is the only way to keep your data private. Using software such as Folder Lock to "lock" the files will not prevent them from being read without the password.
Truecrypt does encryption and runs on Windows, Mac OS X, and is available for Linux. You will need the executable, truecrypt.exe, and driver (.sys file) on the USB in order to run it and access the encrypted data. Also, Truecrypt is freeware. If you want a USB drive that requires a password without any extra software, you need to buy a secure USB drive with built-in encryption hardware. These are more expensive than regular USB drives because of the extra security hardware. The Ironkey drives are an example of a secure USB flash drive.
@whs, looking at neosoftwares.net, it looks like they sell software that others provide for free. Folder Lock or USB Secure can be replaced with Truecrypt, History Clean can be replaced by CCleaner, and Macro Keys can be replaced by AutoHotKey. I think that we should never recommend this kind of paid software without mentioning the freeware alternatives that are available.