the sandisk thumb drives come with a program that allows for a "secured" partition that you can setup. I dont think it would be all that hard to transfer that program over to any other hard drive. and I wouldnt doubt that there are many programs available made just for this.

Or just encrypt the files with some thrid party encryption program before you toss them on the drive. and then decrypt them on the other end.

Or get one of the newer drives that have built in fingerprint recognition.