Password Protect External Hard Drive

I have an external hard drive that I use to store a whole bunch of stuff of mine that I currently leave wide open to grab and open everything in it.  I don't want this to happen, so I want to password the drive so only I can do so.  There are two questions I need answered, though.

1. Is it possible to password protect the drive WITHOUT third-party software?  Something in Windows itself, perhaps?

2. If no to the above, what is the best FREE software to do so?  I don't want to have to pay a whole pile of money just for this simple purpose.

Thanks in advance to those who help!

Windows allows encrypted volumes.

So do most free unicies, for that matter.

How do I do it with Windows, exactly?

press f1