Not sure if this is what fits the bill, but try TrueCrypt. It's a program that encrypts/decrypts drives/file folders, on the fly.
What happens is that you provide a password, and then you can use the disk like a normal one until you disconnect and reconnect (default setting), then you have to provide a password again, but other than that, it's pretty much basic.
HOWEVER. I've never used TrueCrypt for a flash drive/memory stick, so I don't know how well it will work, but I do know that there's a portable mode and a way to encrypt the stick, so with a little searching around on the website, I think you should be able to find a way to make it work.