A quick note: BitLocker encryption is built into Windows 10 Pro and Enterprise. Once encrypted you will only be able to access the drive from a Windows machine.
Once the flash drive is connected, search for BitLocker (or look in Control Panel), Open Manage BitLocker.
Select the drive you want to encrypt, click Turn on BitLocker.
Under security type select password. Enter the password you want to use and click Next.
Save the recovery key on your computer(it can be used if you forget the password).
Select to encrypt the entire drive. Click Next, click Start Encrypting.
Don't remove the device until the encryption process is complete.