Are you trying to keep people from using the drive, or trying to keep people from reading files on a CD that you've burned?
Also, be careful about using Windows to encrypt your files, or next month you'll be back here telling us that XP crashed and you can no longer read the files after re-installing Windows
Your best choice is probably to use an archive program with good encryption (not standard .zip encryption, it's weak). The latest PKzip and Winzip have added a way to create non-standard zip files with better protection, or you could use WinRAR.
Just be sure to keep good records of the password(s) -- with strong encryption the password-cracking software out there
will not work and you could end up with a spindle of CDs you can never read again.