After plugging in USB drive you will get the below. Click Encrypt this drive using Bitlocker.
Check Use a password to unlock this drive, enter a password then click next
Backup the recovery key (maybe needed for future recovery), print the recovery key as a pdf.
Save file, give it a name (Example: USB recovery key), click save
Click next after key was saved
Encrypt used disk space only, click next
Click start encrypting. (Note: you will need to enter the password you gave the USB to access the files)
Encryption may take a few mins.