How to lock USB drive without using any 3rd party software

Insert your USB drive to computer

Click on Start

In "Search programs and files" box, type Bitlocker Drive Encryption
Now launch that application.

Then look for your USB drive and click on
'Turn on Bitlocker'

Windows will ask you to set a password.

Now set a strong password.

Click on Next
If you want save the password in a safe place.

And click on Next

Now click on Start Encrypting
That's all !!
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