How to password protect a USB drive

Hi,

Can someone explain how I can set a password on a USB drive without using BitLocker—since that option isn't available anymore?

That option might be missing because you're likely running Windows Home right now, rather than the Pro or Enterprise editions.
If that's the case, you can always turn to third-party software like TrueCrypt or VeraCrypt instead.
It really depends on your specific needs; you could essentially "lock down" an entire USB drive, or you could create one massive file on the stick that acts as a virtual device. Once you open it using VeraCrypt and enter your password, a "new" drive appears with its own assigned letter in Windows, allowing you to work with it just like any other disk or thumb drive. When you unmount it, all anyone sees is that single large file, which remains completely unreadable without the password—though it can still be copied in its entirety, which I find quite practical when you're managing backups.

Since TrueCrypt is basically a ghost at this point, it’s causing some headaches on Windows 10. If you're looking for a way forward, BitLocker works fine for Windows 10, while you might want to look into VeraCrypt or BitLocker for Linux.