How can I password protect a flash drive?

I follow the instruction on how to encrypt my usb flash drive from this link:

http://www.truecrypt.org/docs/?s=traveler-mode

but the problem is after I encrypted the entire flash drive and connecting it to te=he computer I get the following message: You need to format the disk in the Drive X: before you can use it.

Could yiu send me the step on how you were able to Encrypted your entire Flash drive and have the option when hyou insert your flash drive to ask for a password.

Regards,

Mike