Here are a bunch of utilities:
The gold standard for personal encryption is arguably PGP:
It might not be so easy to set up and use, however, and I'm not sure if it can make stand-alone exe files that can decrypt themselves given the proper password. In other words, I think you need to have PGP installed on the computer where the file is being decrypted.
Plextor's new Premium drive supposedly supports encryption, but I guess that doesn't do you any good if you don't own the drive.