Windows offers a built-in EFS (Encrypted File System) solution and free open source alternatives such as TrueCrypt are also available.
Using the built-in EFS is usually not a solution for external portable storage for the following reasons:
EFS is not supported on the "Home" versions of Windows, so you most likely won't have access to any of the encrypted data on a portable drive from work if you attach it to your home computer.
Accessing the EFS encrypted data is impossible unless your username on the computer, where the data was copied to the portable storage, and the username on the computer, where you want to access the data, are identical and have the same SID; this will normally only be the case if those two computers are in the same domain - simply creating logins with the same username and password will not be enough.
So EFS is not normally a solution for protecting external portable data (since you probably won't be able to access the data yourself), but TrueCrypt is indeed a good, portable, and free solution.