How do I password protect a USB flash drive without using BitLocker?

I'm trying to password protect my thumb drive or USB flash drive but I can't use bitlocker and so far, i've been unable to do it. Is there an EASY way of password protecting my USB flash drive without using BitLocker or having to download a software? I'm using a Lenovo ideapad and I don't know what version of Windows I'm using, I assume it's windows 10 and I bought my laptop last year around November… So my laptop is less than 1 year old.

No way without "having to download a software".
With no information why you can't use BitLocker, there's no way to guess what to do now.

Use Rohos Disk Encryption its free and good