Password Protecting A Backup Drive/Or Folder

How can I password protect an entire drive? (My backup drive) Or the folder thats in it.
When I do try to set it up in "properties" in the folder, the security box won't allow a 'check' in the box.

Bump

It sounds like you have XP Home on that computer. XP Home doesn't support encryption and it's saying "this is where you'd enable compression in XP Pro".

There are some free encryption utilities out there. I've never used any, but you might be able to find some here:

http://directory.google.com/Top/Computers/Software/Freeware/Encryption/