Most will recommend you instead just create an encrypted disk image on the drive. Then you can put private stuff in that disc image and non-private outside of that.
I like using TrueCrypt because it's supported across platforms (Windows and Linux can use it). It won't automatically prompt you for a password, but it cannot be accessed until you mount it.
Truecrypt is a nice alternative. Although if you use that you'll need to make sure your drive format is appropriate for cross platform usage if that's a need you have.