the only way i know how to do that is to make a .dmg file (which can be done in disk utilitiy). you can make it sparse (it can be a certain size, say 4gb but it will only take up the amount of space you ahve actuallu put into it) and then put a password on it and mount it, somewhat like a flash drive.
thats all that im aware of at this point in time without 3rd party aps, i have a coupla them.