TrueCrypt can be run on Windows, OS X and Linux. The same encrypted volume that you create below can be accessed from any of those systems.
Step 1: Install TrueCrypt on your computer
Step 2: Insert your Flash Drive. Open Macintosh HD > Applications folder and copy the TrueCrypt application to your Flash Drive.
Step 3: Create an Encrypted Volume
Step 4: Copy the Encrypted Volume to the flash drive
Step 5: Start using the Encrypted Volume